Tagged Questions
8
votes
1answer
276 views
What is a commonly accepted econometric model for volume?
What is the gold standard econometric model for volume? For example, a common model for price is the autoregressive (AR) model with GARCH(1,1) innovations. Do you know of any good survey articles ...
5
votes
1answer
340 views
How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
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 ...
