Predicting bid-ask spreads using long-memory autoregressive conditional poisson models
Axel Groß-Klußmann and Nikolaus Hautsch
| Year of publication: |
2013
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|---|---|
| Authors: | Groß-Klußmann, Axel ; Hautsch, Nikolaus |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 32.2013, 8, p. 724-742
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| Subject: | bid–ask spreads | forecasting | high-frequency data | stock market liquidity | count data time series | long-memory Poisson autoregression | Prognoseverfahren | Forecasting model | Geld-Brief-Spanne | Bid-ask spread | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market | Autokorrelation | Autocorrelation | Theorie | Theory | Schätzung | Estimation | Marktliquidität | Market liquidity | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model |