Axel Groß-Klußmann

Humboldt Universität zu Berlin

Humboldt Universität zu Berlin

Alexanderstr 5

Berlin, Berlin 10178

Germany

SCHOLARLY PAPERS

2

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143

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0

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Scholarly Papers (2)

1.

Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models

Number of pages: 42 Posted: 15 Jul 2011
Axel Groß-Klußmann and Nikolaus Hautsch
Humboldt Universität zu Berlin and University of Vienna - Department of Statistics and Operations Research
Downloads 143 (203,441)
Citation 2

Abstract:

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Bid-ask Spreads, Forecasting, High-Frequency Data, Stock Market Liquidity, Count Data Time Series, Long Memory Poisson Autoregression

2.

When Machines Read the News: Using Automated Text Analytics to Quantify High Frequency News Impacts

Posted: 19 Jan 2010 Last Revised: 03 Mar 2011
Axel Groß-Klußmann and Nikolaus Hautsch
Humboldt Universität zu Berlin and University of Vienna - Department of Statistics and Operations Research

Abstract:

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firm-specific news, news sentiment, high-frequency data, volatility, liquidity, abnormal returns