Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models

Axel Groß‐KlußMann and Nikolaus Hautsch

Journal of Forecasting, 2013, vol. 32, issue 8, 724-742

Date: 2013
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http://hdl.handle.net/10.1002/for.2267

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Working Paper: Predicting bid-ask spreads using long memory autoregressive conditional poisson models (2011)
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