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

By Axel Groß-Klußmann, Nikolaus Hautsch. 2011

61 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/6a3b8c1a9e177ba45686a769b81701f4edfda264

Citations in the corpus

• Forecasting Liquidity-Adjusted Intraday Value-at-Risk with Vine Copulas (2013, unknown): “The econometrics literature includes several studies which focus on modeling and forecasting multivariate intraday stock returns or multivariate bid-ask spreads (see e.g. Engle and Russell, 1998; Breymann et al., 2003; Heinen and Rengifo, 2007; Groß-Klußmann and Hautsch, 2011; Li and Poon, 2011).”