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Keywords: High frequency data
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Journal Articles
Autoregressive conditional duration models for high frequency financial data: an empirical study on mid cap exchange traded funds
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2022) 39 (1): 150–173.
Published: 20 October 2021
... C10 C41 C52 C53 G10 Autoregressive conditional duration Exchange traded funds Forecasting High frequency data Risk measurement Exchange traded funds (ETFs) are baskets of securities that trade on exchanges and track indexes, stocks, bonds, commodities and other classes of assets...
