David Veredas – författare
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3 produkter
High Frequency Financial Econometrics
Recent Developments
Av Luc Bauwens, Winfried Pohlmeier m. fl.
Inbunden, 2007
1128 kr
Lägg i varukorg
In this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. We use this model to test the validity of certain symmetry assumptions very common among microstructure models. Namely, we test whether ask …
High Frequency Financial Econometrics
Recent Developments
Av David Veredas, Winfried Pohlmeier m. fl.
E-bok, 2007
1502 kr
Lägg i varukorg
In this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. We use this model to test the validity of certain symmetry assumptions very common among microstructure models. Namely, we test whether ask …
High Frequency Financial Econometrics
Recent Developments
Av Luc Bauwens, Winfried Pohlmeier m. fl.
Häftad, 2010
1098 kr
Lägg i varukorg
In this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. We use this model to test the validity of certain symmetry assumptions very common among microstructure models. Namely, we test whether ask …
