Price duration versus trading volume in high-frequency data for selected DAX companies
The properties of the time series of durations between consecutive trades of a particular stock have been studied by many contributors in the literature of financial econometrics. Among them are highly prominent scientists like Engle (2000) and Gourieroux and Jasiak (2001). The importance of this t...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AGH UNIVERSITY PRESS
2016-12-01
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| Series: | Managerial Economics |
| Online Access: | https://www.exeley.com/exeley/journals/managerial_economics/17/2/pdf/10.7494_manage.2016.17.2.241.pdf |
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