Modeling Trade Directions with Autoregressive Conditional Marked Durations and the Probability of Informed Trading

Author

Yiu Kuen TSE, Singapore Management UniversityFollow

Publication Type

Conference Paper

Publication Date

4-2005

Discipline

Econometrics | International Economics

Research Areas

Econometrics

Publication

First Symposium on Econometric Theory and Application

Citation

TSE, Yiu Kuen. Modeling Trade Directions with Autoregressive Conditional Marked Durations and the Probability of Informed Trading. (2005). First Symposium on Econometric Theory and Application.
Available at: https://ink.library.smu.edu.sg/soe_research/891