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About Evaluating The Liquidity of Stocks Using Transaction Data: ST TH
This document is a thesis submitted by Nataliya Ivanchuk in partial fulfillment of the requirements for a Master's degree in international business economics. The thesis evaluates the liquidity of stocks using transaction data. It first provides a theoretical background on liquidity measures and econometric models for modeling irregularly spaced duration data. It then presents an empirical analysis of liquidity dynamics for five stocks using autoregressive conditional duration models, ultra-high frequency GARCH models, and a volume-based net liquidity measure. The goal is to examine how trading intensity impacts the ability to estimate price formation dynamics and model accuracy.
Detailed Information
| Author: | ['Giang Hoang'] |
|---|---|
| Publication Year: | 2011 |
| Pages: | 86 |
| Language: | English |
| Format: | |
| Price: | FREE |
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