The dynamics of discrete bid and ask quotes
Year of publication: |
1999
|
---|---|
Authors: | Hasbrouck, Joel |
Published in: |
The journal of finance : the journal of the American Finance Association. - Hoboken, NJ [u.a.] : Wiley, ISSN 0022-1082, ZDB-ID 218191-5. - Vol. 54.1999, 6, p. 2109-2142
|
Subject: | Geld-Brief-Spanne | Bid-ask spread | Volatilität | Volatility | ARCH-Modell | ARCH model | USA | United States | 1994 |
-
Intraday volatility interaction between the crude oil and equity markets
Dinh Hoang Bach Phan, (2016)
-
Liquidity uncertainty and Bitcoin's market microstructure
Koutmos, Dimitrios, (2018)
-
Conditional volatility forecasting in a dynamic hedging model
Haigh, Michael S., (2005)
- More ...
-
Why Do Companies Pay Dividends? Comment.
Hasbrouck, Joel, (1984)
-
Inflation and the Stock Market: Comment.
Friend, Irwin, (1982)
-
Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading
Hasbrouck, Joel,
- More ...