Tina Hviid Rydberg

University of Oxford

Dr.

Mansfield Road

Oxford, Oxfordshire OX1 3PG

United Kingdom

SCHOLARLY PAPERS

3

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Top 45,719

in Total Papers Downloads

959

SSRN CITATIONS
Rank 19,276

SSRN RANKINGS

Top 19,276

in Total Papers Citations

36

CROSSREF CITATIONS

8

Scholarly Papers (3)

1.

A Modelling Framework for the Prices and Times of Trades Made on the New York Stock Exchange

Nuffield College Working Paper W99-14
Number of pages: 32 Posted: 04 Jun 1999
Tina Hviid Rydberg and Neil Shephard
University of Oxford and Harvard University
Downloads 507 (57,463)
Citation 9

Abstract:

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Dynamics of Trade-by-Trade Price Movements: Decomposition and Models

Nuffield College Economics No. 1998-W19
Number of pages: 28 Posted: 30 May 2002
Tina Hviid Rydberg and Neil Shephard
University of Oxford and Harvard University
Downloads 270 (117,962)
Citation 43

Abstract:

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Dynamics of Trade-by-Trade Price Movements: Decomposition and Models

Journal of Financial Econometrics, Vol. 1, No. 1, pp. 2-25, 2003
Posted: 29 Feb 2008
Neil Shephard and Tina Hviid Rydberg
Harvard University and University of Oxford

Abstract:

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activity, decompostition, directions, GLARMA, size, transactions data

3.

Modelling Trade-by-Trade Price Movements of Multiple Assets Using Multivariate Compound Poisson Processes

Number of pages: 19 Posted: 23 Sep 1999
Tina Hviid Rydberg and Neil Shephard
University of Oxford and Harvard University
Downloads 182 (173,694)
Citation 2

Abstract:

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