Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (Q4687355)
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scientific article; zbMATH DE number 6951868
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models |
scientific article; zbMATH DE number 6951868 |
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Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (English)
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11 October 2018
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high-frequency data
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stock market liquidity
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count data time series
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rolling-window forecasts
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