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Preise und Handelsvolumina auf Finanzmärkten : eine empirische Überprüfung d. Mischungsverteilungshypothese

Liesenfeld, Roman - 1998

Persistent link: https://www.econbiz.de/10000982152

A generalized bivariate mixture model for stock price volatility and trading volume

Liesenfeld, Roman - In: Journal of econometrics 104 (2001) 1, pp. 141-178

Persistent link: https://www.econbiz.de/10001589531

Dynamic bivariate mixture models : modeling the behavior of prices and trading volume

Liesenfeld, Roman - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 1, pp. 101-109

Persistent link: https://www.econbiz.de/10001231021

Dynamic bivariate mixture models : modeling the behavior of prices and trading volume

Liesenfeld, Roman - 1996

Persistent link: https://www.econbiz.de/10013268549

Testing the bivariate mixture hypothesis using German stock market data

Jung, Robert; Liesenfeld, Roman - 1996

Persistent link: https://www.econbiz.de/10000933424

Estimation of dynamic bivariate mixture models : comments on Watanabe (2000)

Liesenfeld, Roman; Richard, Jean-François - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 4, pp. 570-576

Persistent link: https://www.econbiz.de/10001807032

Testing the bivariate mixture hypothesis using German stock market data

Jung, Robert - In: European financial management : the journal of the … 2 (1996) 3, pp. 273-297

Persistent link: https://www.econbiz.de/10001210190

Modelling financial transaction price movements : a dynamic integer count data model

Liesenfeld, Roman; Nolte, Ingmar; Pohlmeier, Winfried - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 795-825

Persistent link: https://www.econbiz.de/10003233759

A dynamic integer count data model for financial transaction prices

Liesenfeld, Roman (contributor); … - 2003

In this paper we develop a dynamic model for integer counts to capture the dis- creteness of price changes for financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the...

Persistent link: https://www.econbiz.de/10002527884

Ein dynamisches Hürdenmodell für diskrete Transaktionspreisänderungen auf Finanzmärkten

Liesenfeld, Roman - In: Empirische Wirtschaftsforschung : Methoden und …, (pp. 153 - 177). 2003

Persistent link: https://www.econbiz.de/10014554667