Advancement of autoregressive conditional duration models involving liquidity and price dynamics

Authors

  • R. P. Yatigammana University of Sydney

Keywords:

Autoregressive, Conditional Duration, Liquidity, Price Dynamics, Probit Framework, Extreme Quantiles

Abstract

DOI: 10.1017/S0004972716001398

Published

2017-04-29

Issue

Vol. 95 No. 3 (2017)

Section

Abstracts of PhD Theses
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