Stefan Kokot

Arcor AG & Co. KG

Database Marketing Analyst

Alfred-Herrhausen-Allee 1

Eschborn, 65760

Germany

http://www.arcor.de/

SCHOLARLY PAPERS

2

DOWNLOADS

825

SSRN CITATIONS

1

CROSSREF CITATIONS

9

Scholarly Papers (2)

1.

The Markov Switching Acd Model

Johann Wolfgang Goethe-University, Finance & Accounting Working Paper No. 90
Number of pages: 45 Posted: 08 Nov 2002
Reinhard Hujer, Sandra Vuletic and Stefan Kokot
University of Frankfurt, Johann Wolfgang Goethe University - University of Frankfurt and Arcor AG & Co. KG
Downloads 603 (48,263)
Citation 11

Abstract:

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Financial transaction data, autoregressive conditional duration models, nonlinear time series models, finite mixture distributions, Markov switching models, EM algorithm, market microstructure theory

2.

Using Trades to Estimate Sequential Trade Models

Number of pages: 40 Posted: 23 Jun 2008
Stefan Kokot
Arcor AG & Co. KG
Downloads 222 (150,698)
Citation 1

Abstract:

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High Frequency Data, Market Microstructure, Sequential Trade Models, Count Data Models, Mixture Distributions, Markov Switching Models