Modelling the impact of open volume on inter-trade autoregressive durations
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Bibliographic InfoArticle provided by Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome in its journal Metron.
Volume (Year): LX (2002)
Issue (Month): 3-4 ()
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- Giampiero Gallo & Barbara Pacini, 2000. "The effects of trading activity on market volatility," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 163-175.
- Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
- Giovanni De Luca & Paola Zuccolotto, 2003. "Finite and infinite mixtures for financial durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 431-455.
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