Predicting VNET: A model of the dynamics of market depth

By Robert F. Engle, Joe Lange. 2001

116 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/45ff30b7afde607bca427e1c6c26074ea49d65dc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Maria Pacurar

In Finance

1. Maria Pacurar

Citations in the corpus

• Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, background): “Engle and Lange (2001) explore the depth of financial markets by defining an intraday statistic, referred to as VNET, as the number of shares purchased minus the number of shares sold over a price duration.”