Asymmetric ACD models: Introducing price information in ACD models
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- BAUWENS, Luc & GIOT, Pierre, 2003. "Asymmetric ACD models: Introducing price information in ACD models," CORE Discussion Papers RP 1670, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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More about this item
KeywordsDuration and transition model; high frequency data; market microstructure; forecasting;
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