Trading Intensity and Intraday Volatility on the Prague Stock Exchange: Evidence from an Autoregressive Conditional Duration Model
| Author(s): | PhDr. Vít Bubák, M.A., Ph.D., |
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| Type: | Articles in journals with impact factor |
| Year: | 2006 |
| Number: | 5 |
| ISSN / ISBN: | |
| Published in: | Czech Journal of Economics and Finance (Finance a Uver), 5-6/2006 |
| Publishing place: | |
| Keywords: | autoregressive conditional duration, instantaneous volatility, market microstructure |
| JEL codes: | G14, G18 |
| Suggested Citation: | |
| Grants: | IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development |
| Abstract: |
