Volltext herunterladen
(495.0 KB)
Zitationshinweis
Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-221094
Export für Ihre Literaturverwaltung
Analyzing Liquidity and Absorption Limits of Electronic Markets with Volume Durations
[Zeitschriftenartikel]
Abstract This paper focuses on the liquidity of electronic stock markets applying a sequential estimation approach of models for volume durations with increasing threshold values. A modified ACD model with a Box-Tukey transformation and a flexible generalized Beta distribution is proposed to capture the chan... mehr
This paper focuses on the liquidity of electronic stock markets applying a sequential estimation approach of models for volume durations with increasing threshold values. A modified ACD model with a Box-Tukey transformation and a flexible generalized Beta distribution is proposed to capture the changing cluster structure of duration processes. The estimation results with the German XETRA data reveal the market’s absorption limit for high volumes of shares, expanding the time costs of illiquidity when trading these quantities.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Finanzwirtschaft, Rechnungswesen
Methode
Theorieanwendung
Freie Schlagwörter
Financial econometrics; Econometric methods; Econometrics of financial markets; Copulas; Statistical methods; Financial time series; Market microstructure; Quantitative finance
Sprache Dokument
Englisch
Publikationsjahr
2008
Seitenangabe
S. 353-361
Zeitschriftentitel
Quantitative Finance, 8 (2008) 4
DOI
https://doi.org/10.1080/14697680701545699
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)