Modeling a multivariate transaction process

Journal of Financial Econometrics

Volumn 6, Issue 1, 2008, Pages 143-170

  Nolte, Ingmar ^a  

^a UNIVERSITY OF KONSTANZ   (Germany)

Author keywords

Copula functions; Discrete price changes; Fractionally integrated autoregressive conditional duration models; Integer count hurdle model; Market microstructure; Transaction data

Indexed keywords

EID: 37849023531     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbm020     Document Type: Article

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