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VPIN, liquidity, and return volatility in the US equity markets

Yildiz, Serhat; Van Ness, Bonnie F.; Van Ness, Robert A. - In: Global finance journal 45 (2020)

Persistent link: https://www.econbiz.de/10012503390

US macroeconomic news effects around the US and European financial crises : evidence from Brazilian and Mexican equity indices

Hussain, Syed Mujahid; Ben Omrane, Walid; Al-Yahyaee, … - In: Global finance journal 46 (2020)

Persistent link: https://www.econbiz.de/10012503405

Safe-haven and hedge currencies for the US, UK, and Euro area stock markets : a copula-based approach

Tachibana, Minoru - In: Global finance journal 35 (2018), pp. 82-96

Persistent link: https://www.econbiz.de/10012124795

Implied volatility linkages between the U.S. and emerging equity markets : a note

Dutta, Anupam - In: Global finance journal 35 (2018), pp. 138-146

Persistent link: https://www.econbiz.de/10012124805

Intra-day realized volatility for European and USA Stock indices

Degiannakis, Stavros; Floros, Christos - In: Global finance journal 29 (2016), pp. 24-41

Persistent link: https://www.econbiz.de/10011714562

The volatility of long-term bond returns : persistent interest shocks and time-varying risk premiums

Osterrieder, Daniela; Schotman, Peter C. - In: The review of economics and statistics 99 (2017) 5, pp. 884-895

Persistent link: https://www.econbiz.de/10011781305

Stock market integration between the UK and the US : evidence over eight decades

Aladesanmi, Olalekan; Casalin, Fabrizio; Metcalf, Hugh - In: Global finance journal 41 (2019), pp. 32-43

Persistent link: https://www.econbiz.de/10012257057

Measuring the level and uncertainty of trend inflation

Mertens, Elmar - In: The review of economics and statistics 98 (2016) 5, pp. 950-967

Persistent link: https://www.econbiz.de/10011791712

US stock market regimes and oil price shocks

Angelidis, Timotheos; Degiannakis, Stavros; Filis, George - In: Global finance journal 28 (2015), pp. 132-146

Persistent link: https://www.econbiz.de/10011478135

Microstructure invariance in U.S. stock market trades

Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - 2016 - This draft: April 19, 2016

This paper studies invariance relationships in tick-by-tick transaction data in the U.S. stock market. Over the 1993–2001 period, the estimated monthly regression coefficients of the log of trade arrival rate on the log of trading activity have an almost constant value of 0.666, strikingly...

Persistent link: https://www.econbiz.de/10011500337