Predicting Bid-Ask Spreads Using Long Memory Autoregressive...

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SSRN Electronic Journal 2011

Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models

Groß-Klußmann, Axel, Hautsch, Nikolaus
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Year:
2011
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.1884237
File:
PDF, 1.33 MB
english, 2011
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