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subject:"Share price"
subject:"World"
~person:"Lillo, Fabrizio"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Book section"
~type_genre:"Multi-volume publication"
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Share price
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Estimation
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6
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6
Market microstructure
3
Marktmikrostruktur
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Lillo, Fabrizio
Gupta, Rangan
79
Zaremba, Adam
44
Wohar, Mark E.
35
Tiwari, Aviral Kumar
30
Gil-Alaña, Luis A.
29
Lee, Chien-chiang
29
McMillan, David G.
29
Narayan, Paresh Kumar
29
Pierdzioch, Christian
29
Balcilar, Mehmet
25
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25
Ma, Feng
23
Xuan Vinh Vo
23
Apergēs, Nikolaos
22
Bahmani-Oskooee, Mohsen
22
Caporale, Guglielmo Maria
22
Hammoudeh, Shawkat
22
Bouri, Elie
21
Salisu, Afees A.
19
MacDonald, Ronald
18
Rose, Andrew
18
Chiang, Thomas C.
17
Shahbaz, Muhammad
17
Voigt, Stefan
17
Woessmann, Ludger
17
Zhu, Huiming
17
Bohl, Martin T.
16
Demirer, Rıza
16
Jawadi, Fredj
16
McAleer, Michael
16
Wang, Yudong
16
Zhang, Yaojie
16
Belke, Ansgar
15
Cakici, Nusret
15
Brooks, Robert
14
Kang, Sang Hoon
14
Mensi, Walid
14
Bollerslev, Tim
13
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13
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Quantitative finance
2
The complex dynamics of economic interaction : essays in economics and econophysics
2
Financial econometrics and empirical market microstructure
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
6
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1
Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe
;
Ciacci, Alberto
;
Lillo, Fabrizio
; …
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
Saved in:
2
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
3
Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model
Taranto, Damian Eduardo
;
Bormetti, Giacomo
;
Bouchaud, …
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 917-931
Persistent link: https://www.econbiz.de/10011910934
Saved in:
4
How tick size affects the high frequency scaling of stock return distributions
Curato, Gianbiagio
;
Lillo, Fabrizio
- In:
Financial econometrics and empirical market microstructure
,
(pp. 55-76)
.
2015
Persistent link: https://www.econbiz.de/10011326716
Saved in:
5
Modeling the dynamics of a financial index after a crash
Lillo, Fabrizio
;
Mantegna, Rosario N.
- In:
The complex dynamics of economic interaction : essays …
,
(pp. 143-151)
.
2004
Persistent link: https://www.econbiz.de/10002415038
Saved in:
6
Price impact function of a single transaction
Lillo, Fabrizio
;
Farmer, J. Doyne
;
Mantegna, Rosario N.
- In:
The complex dynamics of economic interaction : essays …
,
(pp. 153-160)
.
2004
Persistent link: https://www.econbiz.de/10002415112
Saved in:
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