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Mathematical Problems in Engineering
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Mathematical Problems in Engineering
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2015
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Article
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Tab 6
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Research Article
Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares
Table 6
Whole transaction volume duration WACD (1, 1) estimate.
ω
α
β
γ
SH600048
5.8223
0.5301
0.4665
1.6891
SH600247
11.5155
1.0097
0.0986
1.2789
SH600383
9.4413
0.6472
0.3399
1.7824