Nonlinearity in High-Frequency Financial Data and Hierarchical Models
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DOI: 10.2202/1558-3708.1067
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References listed on IDEAS
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Cited by:
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"Trade intensity in the Russian stock market:dynamics, distribution and determinants,"
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- Lumengo BONGA-BONGA, 2010. "Modeling Stock Returns in the South African Stock Exchange: a Nonlinear Approach," EcoMod2010 259600034, EcoMod.
- Georges Dionne & Xiaozhou Zhou, 2020.
"The dynamics of ex-ante weighted spread: an empirical analysis,"
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- Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante Weighted Spread: An Empirical Analysis," Working Papers 16-4, HEC Montreal, Canada Research Chair in Risk Management, revised 04 Nov 2019.
- Ito, R., 2016. "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics 1606, Faculty of Economics, University of Cambridge.
- Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
- Simeon Coleman & Vitor Leone, 2015. "An investigation of regime shifts in UK commercial property returns: a time series analysis," Applied Economics, Taylor & Francis Journals, vol. 47(60), pages 6479-6492, December.
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