Econometric Modelling of Stock Market Intraday Activity

Bauwens, L., & Giot, P. (2001). Econometric Modelling of Stock Market Intraday Activity. Kluwer.

Type

Book

Intellectual base

Review or monograph

Year

2001

DOI

10.1007/978-1-4757-3381-5

ISBN

9781441949066

Link

https://doi.org/10.1007/978-1-4757-3381-5

Cited by

1 citation across 1 artifact.

Domain-specific

• Autoregressive Conditional Duration
  • Bauwens and Giot develop log-ACD and market-microstructure variants that relax positivity restrictions on linear predictors.

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