How to model time series which are illiquid - 400 observations (transactions) per 8 hours ? Are there models suitable for this situation which incorporate not only size of the transactions but also ...
I hope this is an appropriate question for this forum... for me it is an obvious query since it intrigues me for a long time. Ok, assume there are 2 distinct classes of models: econometric (AR, MA, ...
I was asked today to "quantify" the precision of an estimated the standard deviation from a small sample, I was not sure how to answer. The case is quite simple, I have a sample of $n=25$ measures ...