Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics

Nikolaus Hautsch, Wolfgang Karl Härdle, Andrija Mihoci

Veröffentlichungen: Beitrag in Fachzeitschrift › Artikel › Peer Reviewed

Originalsprache	Englisch
Seiten (von - bis)	610-625
Fachzeitschrift	Journal of Empirical Finance
Jahrgang	19
Ausgabenummer	4
DOIs	https://doi.org/10.1016/j.jempfin.2012.04.002
Publikationsstatus	Veröffentlicht - Sept. 2012

ÖFOS 2012

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title = "Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics",

keywords = "Limit order book, Liquidity risk, Semiparametric model, Factor structure, Prediction",

author = "Nikolaus Hautsch and H{\"a}rdle, {Wolfgang Karl} and Andrija Mihoci",

year = "2012",

month = sep,

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AU - Hautsch, Nikolaus

AU - Härdle, Wolfgang Karl

AU - Mihoci, Andrija

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KW - Limit order book

KW - Liquidity risk

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KW - Factor structure

KW - Prediction

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