The effect of security and market order flow shocks on co-movement
Year of publication: |
November 2015
|
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Authors: | Chelley-Steeley, Patricia L. ; Lambertides, Neophytos ; Savva, Christos S. |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 39.2015, p. 136-155
|
Subject: | Order flow shock | Co-movement | Smooth transition model | Schock | Shock | Theorie | Theory | Marktmikrostruktur | Market microstructure | Wertpapierhandel | Securities trading |
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