Econometric analysis of financial transaction data: pitfalls and opportunities

zbMath1162.62427MaRDI QIDQ2567522

Nikolaus Hautsch, Winfried Pohlmeier

Publication date: 11 October 2005

Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

zbMATH Keywords

transaction data, autoregressive conditional duration models, ordered response and count models, electronic and floor trading

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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