The sensitivity of VPIN to the choice of trade classification algorithm

T. Pöppe, S. Moos and D. Schiereck

Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)

Date: 2016
New Economics Papers: this item is included in nep-cmp
Note: for complete metadata visit http://tubiblio.ulb.tu-darmstadt.de/83467/
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Published in Journal of Banking & Finance (2016) : pp. 165-181

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426616301455

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dar:wpaper:83467

Access Statistics for this paper

More papers in Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) Contact information at EDIRC.
Bibliographic data for series maintained by Dekanatssekretariat ().