Modelling financial transaction price movements: A dynamic integer count data model

Empirical Economics

Volumn 30, Issue 4, 2006, Pages 795-825

  Liesenfeld, Roman ^a   Nolte, Ingmar ^b   Pohlmeier, Winfried ^b  

^a UNIVERSITY OF KIEL   (Germany)

^b UNIVERSITY OF KONSTANZ   (Germany)

Author keywords

Autoregressive conditional multinomial model; Count data; Financial transaction prices; GLARMA; Market microstructure effects

Indexed keywords

EMPIRICAL ANALYSIS; FINANCIAL SERVICES; MODELING;

EID: 31044442137     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00181-005-0001-1     Document Type: Article

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