Projects funded by the NCN
The ACD models and Bayesian inference in the analysis of transaction data from the Polish stock market
2011/01/N/HS4/03092
Keywords:
the Autoregressive Conditional Duration models (the ACD models) ultra-high-frequency data (UHF data),market microstructure the UHF-GARCH models Bayesian inference
Descriptors:
- HS4_3: Econometrics, statistical methods
- HS4_6: Financial markets, international finance, public finance
- ST1_16: Numerical analysis
Panel:
HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies
Host institution :
Uniwersytet Ekonomiczny w Krakowie, Wydział Zarządzania
woj. małopolskie
Principal investigator (from the host institution):
Number of co-investigators in the project: 2
Call: PRELUDIUM 1 - announced on 2011-03-15
Amount awarded: 62 067 PLN
Project start date (Y-m-d): 2011-12-27
Project end date (Y-m-d): 2013-11-26
Project duration:: 23 months (the same as in the proposal)
Project status: Project settled