Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models

Luc Bauwens and Pierre Giot

No 1442, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2000-01-01
Note: In : Bulletin EU & US Inflation and Macroeconomic Analysis, Instituto Flores de Lemus de Estudios Avanzados en Economía, Universidad Carlos III de Madrid, 65, 49-56, 2000
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