Modeling discrete stock price changes using a mixture of Poisson distributions

DOI10.1016/j.jkss.2016.01.002zbMath1342.62196OpenAlexW2254322992MaRDI QIDQ530377

Rasitha R. Jayasekare, Ryan Gill, Kiseop Lee

Publication date: 29 July 2016

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2016.01.002

zbMATH Keywords

market microstructureliquidity riskasymptotic confidence estimationPoisson mixture model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Related Items (1)

Regression models for double discrete distributions

Cites Work

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