Modelling financial transaction price movements: a dynamic integer count data model
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:30:y:2006:i:4:p:795-825
Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2
Access Statistics for this article
Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund
More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().