Asymmetric ACD models: Introducing price information in ACD models

Empirical Economics

Volumn 28, Issue 4, 2003, Pages 709-731

  Bauwens, Luc ^a   Giot, Pierre ^a,b  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b UNIVERSITY OF NAMUR   (Belgium)

Author keywords

Duration and transition model; Forecasting; High frequency data; Market microstructure

Indexed keywords

ECONOMIC ANALYSIS; MODEL; PRICE DYNAMICS; STOCK MARKET;

EID: 0242286148     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00181-003-0155-7     Document Type: Article

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