Analysis of stock market volatility : adjusted VPIN with high-frequency data
Haijun Yang, Feng Xue
| Year of publication: |
2021
|
|---|---|
| Authors: | Yang, Haijun ; Feng, Xue |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 75.2021, p. 210-222
|
| Subject: | Adjusted VPIN | High-frequency trading | Stock market | Volatility | Volatilität | Aktienmarkt | Börsenkurs | Share price | Elektronisches Handelssystem | Electronic trading | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2021.04.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012692470