Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics

Nikolaus Hautsch, Wolfgang Karl Härdle, Andrija Mihoci

Publications: Contribution to journal › Article › Peer Reviewed

Original language	English
Pages (from-to)	610-625
Journal	Journal of Empirical Finance
Volume	19
Issue number	4
DOIs	https://doi.org/10.1016/j.jempfin.2012.04.002
Publication status	Published - Sept 2012

Austrian Fields of Science 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",

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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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JO - Journal of Empirical Finance

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