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Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models
16 references·1 citing·34 second hop
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 2005A Test for Superior Predictive Ability

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1,227 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
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    • 2016A behavioural model of investor sentiment in limit order markets22 cited