Dynamics of trade-by-trade price movements: decomposition and models
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- Tina Hviid Rydberg & Neil Shephard, 2003. "Dynamics of Trade-by-Trade Price Movements: Decomposition and Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(1), pages 2-25.
- Tina Hviid Rydberg & Neil Shephard, 2002. "Dynamics of trade-by-trade price movements: decomposition and models," OFRC Working Papers Series 2002fe04, Oxford Financial Research Centre.
References listed on IDEAS
- Manganelli, Simone, 2005. "Duration, volume and volatility impact of trades," Journal of Financial Markets, Elsevier, vol. 8(4), pages 377-399, November.
- Ghysels Eric & Jasiak Joanna, 1998. "GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(4), pages 1-19, January.
- Serge Darolles & Christian Gouriéroux & Gaëlle Le Fol, 2000. "Intraday Transaction Price Dynamics," Annals of Economics and Statistics, GENES, issue 60, pages 207-238.
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KeywordsActivity; autologistic; conditional independence; decomposition; directions; durations; forecasting; GLARMA; logarithmic distribution; prediction decomposition; size; transactions data.;
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