標(biāo)題: Titlebook: Econometric Modelling of Stock Market Intraday Activity; Luc Bauwens,Pierre Giot Book 2001 Springer-Verlag US 2001 Finance.Options.Volatil [打印本頁] 作者: 櫥柜 時間: 2025-3-21 16:40
書目名稱Econometric Modelling of Stock Market Intraday Activity影響因子(影響力)
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作者: 剛開始 時間: 2025-3-21 22:25 作者: 加劇 時間: 2025-3-22 01:42 作者: 反饋 時間: 2025-3-22 04:58
J. F. R. Kerr,B. V. Harmon,J. Searlecial exchanges such as the NYSE, the NASDAQ, the Paris Bourse and the FOREX (currency trading). While the list of well-known and important financial exchanges is certainly not limited to these four places, these four markets provide a comprehensive collection of trading mechanisms, most of which are used in other financial centers as well.作者: 打包 時間: 2025-3-22 09:56
https://doi.org/10.1007/978-3-7091-6384-9y with the irregularly time-spaced data and thus use duration models, or joint models for durations and associated marks (such as the return over the duration). This approach fits well with the literature on market microstructure, which stresses the importance of the times between market events, since they supposedly convey important information.作者: FLAG 時間: 2025-3-22 13:41 作者: FLAG 時間: 2025-3-22 18:14 作者: 凹室 時間: 2025-3-22 23:47 作者: Budget 時間: 2025-3-23 02:04
J. F. R. Kerr,B. V. Harmon,J. Searlecial exchanges such as the NYSE, the NASDAQ, the Paris Bourse and the FOREX (currency trading). While the list of well-known and important financial exchanges is certainly not limited to these four places, these four markets provide a comprehensive collection of trading mechanisms, most of which are作者: 濕潤 時間: 2025-3-23 05:38
Ellen Schmidt,Friedrich Werner Schmidtanges As stated in the introduction, our empirical work focuses on tick-by-tick data for stocks traded on the NYSE. In this chapter, we start by describing the intraday database that is available from this exchange (see Section 2). The Trade And Quote database, also called TAQ database, provides int作者: Incisor 時間: 2025-3-23 12:25
https://doi.org/10.1007/978-3-030-50273-7f characterizing the trading frequency, the volatility, and the liquidity of a market. We also highlighted the main stylized facts of durations: a regular intraday seasonality, and after correcting the data for this pattern, clustering and overdispersion (underdispersion for volume durations). The o作者: monochromatic 時間: 2025-3-23 15:24 作者: 決定性 時間: 2025-3-23 20:09
https://doi.org/10.1007/978-3-7091-6384-9y with the irregularly time-spaced data and thus use duration models, or joint models for durations and associated marks (such as the return over the duration). This approach fits well with the literature on market microstructure, which stresses the importance of the times between market events, sin作者: 偽造 時間: 2025-3-23 22:30
Market Microstructure, Trading Mechanisms and Exchanges,cial exchanges such as the NYSE, the NASDAQ, the Paris Bourse and the FOREX (currency trading). While the list of well-known and important financial exchanges is certainly not limited to these four places, these four markets provide a comprehensive collection of trading mechanisms, most of which are作者: blister 時間: 2025-3-24 02:59
NYSE TAQ Database and Financial Durations,anges As stated in the introduction, our empirical work focuses on tick-by-tick data for stocks traded on the NYSE. In this chapter, we start by describing the intraday database that is available from this exchange (see Section 2). The Trade And Quote database, also called TAQ database, provides int作者: 凝結(jié)劑 時間: 2025-3-24 09:30
Intraday Duration Models,f characterizing the trading frequency, the volatility, and the liquidity of a market. We also highlighted the main stylized facts of durations: a regular intraday seasonality, and after correcting the data for this pattern, clustering and overdispersion (underdispersion for volume durations). The o作者: Obliterate 時間: 2025-3-24 11:15
Empirical Results and Extensions,ostructure effects. The models presented in Chapter 3 introduce a new way of modelling the times between market events and are directly related to quantitative tools developed in labour econometrics. While the models can be used to characterize the point processes defined by trade, quote, price or v作者: Haphazard 時間: 2025-3-24 17:41 作者: Obliterate 時間: 2025-3-24 22:49 作者: 鋪子 時間: 2025-3-25 02:05
Book 2001abor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen- eral framework in which time series can be analyzed. In the world of financial econometrics and th作者: 尖牙 時間: 2025-3-25 07:09
Book 2001ose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more part作者: habitat 時間: 2025-3-25 07:33 作者: jabber 時間: 2025-3-25 14:19 作者: absorbed 時間: 2025-3-25 18:43
Empirical Results and Extensions,f this chapter, we review some possible applications of the Log-ACD model to the testing of market microstructure issues which deal with the (bid-ask quotes) updating behavior of a market maker with respect to the information flow.作者: Assemble 時間: 2025-3-25 20:58
Ellen Schmidt,Friedrich Werner Schmidtf this kind of information has given rise to a substantial amount of empirical research conducted on the trading mechanisms, the intraday characteristics of the markets (liquidity, volatility), and the price formation process. While intraday databases provide researchers with a substantial amount of作者: Basal-Ganglia 時間: 2025-3-26 03:06
https://doi.org/10.1007/978-3-030-50273-7y defined, and their properties are investigated, using a mix of analytical and numerical methods. The estimation of these models by the maximum likelihood method is briefly reviewed, and tools for testing the specification of a model are developed. In Section 4, we provide empirical results that il作者: oxidant 時間: 2025-3-26 05:34
https://doi.org/10.1007/978-3-031-52569-8f this chapter, we review some possible applications of the Log-ACD model to the testing of market microstructure issues which deal with the (bid-ask quotes) updating behavior of a market maker with respect to the information flow.作者: Antecedent 時間: 2025-3-26 10:35 作者: painkillers 時間: 2025-3-26 13:10 作者: CHIP 時間: 2025-3-26 17:36
Forward Space,r future city, but also brush its own values against the grain in order to respect the values of the others, which we might have surpassed but not really escaped. Let us begin this exercise by quickly reminding ourselves about the key values of the paradigmatic cities we have studied in the preceding chapters.作者: 揉雜 時間: 2025-3-26 21:47
David Ottosonf the seventh century is when Mannaean seized the power in that area, the time during which it was expanded more than ever, and Ushnuyeh region was dominated by Mannaean. If we accept that Hasanlu IV not belonged to Mannaean and Gilzanu to be located at Solduz valley and, in the end of ninth century作者: PAD416 時間: 2025-3-27 02:43 作者: Gratulate 時間: 2025-3-27 07:24 作者: 變態(tài) 時間: 2025-3-27 13:17 作者: Psychogenic 時間: 2025-3-27 15:49 作者: 1FAWN 時間: 2025-3-27 19:50
https://doi.org/10.1007/978-3-030-79979-3Nanofibers; Electrospinning; Functionalization; Carbon Nanofibers; Electrospun Nanofibers; Graphene Based
