Predicting future price volatility : empirical evidence from an emerging limit order market
Year of publication: |
2014
|
---|---|
Authors: | Jain, Pawan ; Jiang, Christine X. |
Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 27.2014, p. 72-93
|
Subject: | Limit order book | Volatility | Slope | Cost-to-trade | High frequency | Intra-day | Shanghai Stock Exchange | Extreme market condition | Volatilität | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Börse | Bourse | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Shanghai | Marktmikrostruktur | Market microstructure | Finanzmarkt | Financial market | Marktliquidität | Market liquidity | Schätzung | Estimation |
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