The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
Author:
Affiliation:
1. School of Economics, Finance and Management, University of Bristol, Bristol, BS8 1TUUK.
2. Cardiff Business School, Cardiff University, Cardiff, CF10 1EUUK.
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2016.1260756
Reference34 articles.
1. A Theory of Intraday Patterns: Volume and Price Variability
2. Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
3. The distribution of realized stock return volatility
4. GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
5. The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks
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