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

Roman Liesenfeld, Ingmar Nolte and Winfried Pohlmeier ()

Empirical Economics, 2006, vol. 30, issue 4, 795-825

Keywords: Financial transaction prices; Autoregressive conditional multinomial model; GLARMA; Count data; Market microstructure effects; C22; C25; G10 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s00181-005-0001-1

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