Gerhard, Frank (contributor) - 2003 - [Elektronische Ressource]
Chapter 2. On the microstructure of financial markets 19
1. The structure of empirical models of volatility 19
2. Properties … of transaction price changes 25
3. Alternative hypotheses on the relationship of volatility and liquidity 33
Part 2 … particular interest for the analysis of the
relationship between volatility and liquidity, measured as transaction frequency. A …