Modeling Trade Directions with Autoregressive Conditional Marked Durations and the Probability of Informed Trading
Publication Type
Conference Paper
Publication Date
8-2005
Discipline
Econometrics | International Economics
Research Areas
Econometrics
Publication
World Congress of Econometric Society
Citation
TSE, Yiu Kuen.
Modeling Trade Directions with Autoregressive Conditional Marked Durations and the Probability of Informed Trading. (2005). World Congress of Econometric Society.
Available at: https://ink.library.smu.edu.sg/soe_research/892
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