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High Frequency Financial Econometrics
Luc BauwensWinfried PohlmeierDavid VeredasEkonomi & ledarskapIn this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. We use this model to test the validity of certain symmetry assumptions very common among...
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| ISBN | 9783790819915 |
| Språk | sv |
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In this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. We use this model to test the validity of certain symmetry assumptions very common among...