Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models

DOI10.1002/for.2267zbMath1397.91508OpenAlexW2334819703MaRDI QIDQ4687355

Axel Groß-Llußmann, Nikolaus Hautsch

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4984

zbMATH Keywords

high-frequency datacount data time seriesstock market liquidityrolling-window forecasts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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