Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News

L. Spierdijk, T.E. Nijman and Arthur van Soest ()
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L. Spierdijk: Tilburg University, School of Economics and Management
T.E. Nijman: Tilburg University, School of Economics and Management

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Date: 2002
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Working Paper: Modeling Comovements in Trading Intensities to Distinguish Sector and Stock Specific News (2002)
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