Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model

Journal of Empirical Finance

Volumn 4, Issue 2-3, 1997, Pages 187-212

  Engle, Robert F ^a   Russell, Jeffrey R ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031161249     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(97)00006-6     Document Type: Conference Paper

References (23)

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