Daily Return Volatility, Bid-Ask Spreads, and Information Flow: Analyzing the Information Content of Volume
Year of publication: |
2006
|
---|---|
Authors: | Li, Jinliang ; Wu, Chunchi |
Published in: |
The journal of business : B. - Chicago, Ill : Univ. of Chicago Press, ISSN 0021-9398, ZDB-ID 2416177. - Vol. 79.2006, 5, p. 2697-2740
|
Saved in:
Saved in favorites
Similar items by person
-
Li, Jinliang, (2006)
-
Stochastic volatility, liquidity and intraday information flow
Li, Jinliang, (2011)
-
Intradaily periodicity and volatility spillovers between international stock index futures markets
Wu, Chunchi, (2005)
- More ...