Asymmetric ACD models: Introducing price information in ACD models

• 1 November 2003
• journal article
• research article
• Published by Springer Nature in Empirical Economics
• Vol. 28  (4) , 709-731
• https://doi.org/10.1007/s00181-003-0155-7

Abstract

Keywords

• DURATION AND TRANSITION MODEL
• HIGH FREQUENCY DATA
• MARKET MICROSTRUCTURE
• FORECASTING

All Related Versions

• Version 1, 2003-01-01, RePEc (Unconfirmed version)