Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market
Ju Xiang, Xiaoneng Zhu
| Year of publication: |
2014
|
|---|---|
| Authors: | Xiang, Ju ; Zhu, Xiaoneng |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 25.2014, p. 134-148
|
| Subject: | Asymmetric volatility | Intraday | Bid–ask match | Ask depth | Order book | Volatilität | Volatility | Index-Futures | Index futures | ARCH-Modell | ARCH model | Asymmetrische Information | Asymmetric information | Wertpapierhandel | Securities trading |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010462048