Time Series Modelling Of High Frequency Stock Transaction Data
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lundström, Christian, 2017. "On the Returns of Trend-Following Trading Strategies," Umeå Economic Studies 948, Umeå University, Department of Economics.
- Raattamaa, Tomas, 2016. "Essays on Delegated Search and Temporary Work Agencies," Umeå Economic Studies 935, Umeå University, Department of Economics.
- Sahlén, Linda, 2009. "Essays on Environmental and Development Economics - Public Policy, Resource Prices and Global Warming," Umeå Economic Studies 762, Umeå University, Department of Economics.
More about this item
KeywordsCount data; Intra-day; High frequency; Time series; Estimation; Long memory; Finance;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-04-22 (All new papers)
- NEP-ETS-2006-04-22 (Econometric Time Series)
- NEP-FIN-2006-04-22 (Finance)
- NEP-FMK-2006-04-22 (Financial Markets)
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