Does the open limit order book matter in explaining informational volatility?
Year of publication: |
2010
|
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Authors: | Pascual, Roberto ; Veredas, David |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 8.2010, 1, p. 57-87
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Subject: | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Theorie | Theory | Schätzung | Estimation |
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