Search Results - subject:"Bid–ask bounce"

Trend and reversal of idiosyncratic volatility revisited

Leippold, Markus; Svatoň, Michal - In: Critical finance review 12 (2023) 1/4, pp. 171-202

Persistent link: https://www.econbiz.de/10014370373

The impact of order flow on event study returns : new evidence from zero-leverage firms

Zhang, Sijia; Gregoriou, Andros - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 627-634

Persistent link: https://www.econbiz.de/10012655584

Reinvestigate the bid-ask bounce effect and pricing of idiosyncratic volatility : the case of the Australian market

Liu, Bin; Tan, Monica; Cam, Marie-Anne - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950004-1-1950004-23

Persistent link: https://www.econbiz.de/10012156144

The price behavior around initial loan announcements: Evidence from zero-leverage firms in the UK

Zhang, Sija; Gregoriou, Andros - In: Research in international business and finance 50 (2019), pp. 191-200

Persistent link: https://www.econbiz.de/10012177069

High-Frequency and Model-Free Volatility Estimators

Ślepaczuk, Robert; Zakrzewski, Grzegorz - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2009

This paper focuses on volatility of financial markets, which is one of the most important issues in finance, especially with regard to modeling high-frequency data. Risk management, asset pricing and option valuation techniques are the areas where the concept of volatility estimators...

Persistent link: https://www.econbiz.de/10008469059

Finite sample accuracy of integrated volatility estimators

Nielsen, Morten Ørregaard; Houmann Frederiksen, Per - 2005

possibility of market microstructure contamination is also entertained using a model with bid-ask bounce in which case alternative … volatility process. However, bid-ask bounce effects render realized volatility and especially the wavelet estimator less useful …

Persistent link: https://www.econbiz.de/10010290394

Finite Sample Accuracy of Integrated Volatility Estimators

Nielsen, Morten Ørregaard; Frederiksen, Per Houmann - Economics Department, Queen's University - 2005

Persistent link: https://www.econbiz.de/10008458289

A no-arbitrage approach to range-based estimation of return covariances and correlations

Brandt, Michael W.; Diebold, Francis X. - 2004

-based estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading …

Persistent link: https://www.econbiz.de/10010298281

A no-arbitrage approach to range-based estimation of return covariances and correlations

Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004

-based estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading …

Persistent link: https://www.econbiz.de/10010958542

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004

-based estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading … efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading. Finally, we provide …, absence of arbitrage, exchange rates, stock returns, bond returns, bid-ask bounce, asynchronous trading 1 The …

Persistent link: https://www.econbiz.de/10005600448