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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

Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis

Umar, Zaghum; Manel, Youssef; Riaz, Yasir; Gubareva, Mariya - In: Pacific-Basin finance journal 67 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013258118

Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices

Gao, Guangyuan; Ho, Kin-Yip; Shi, Yanlin - In: Pacific-Basin finance journal 61 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012494892

Investors' financial attention frequency and trading activity

Cai, Wenwu; Lu, Jing - In: Pacific-Basin finance journal 58 (2019), pp. 1-20

Persistent link: https://www.econbiz.de/10012231115

Modelling volatility spillovers from the US equity market to ASEAN stock markets

Xuan Vinh Vo; Tran Thi Tuan Anh - In: Pacific-Basin finance journal 59 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012231221

Chinese stock market volatility and the role of U.S. economic variables

Chen, Jian; Jiang, Fuwei; Li, Hongyi; Xu, Weidong - In: Pacific-Basin finance journal 39 (2016), pp. 70-83

Persistent link: https://www.econbiz.de/10011669190

A new government bond volatility index predictor for the U.S. equity premium

Pan, Zheyao; Kam Fong Chan - In: Pacific-Basin finance journal 50 (2018), pp. 200-215

Persistent link: https://www.econbiz.de/10012033788

Forecasting the U.S. stock volatility : an aligned jump index from G7 stock markets

Ma, Feng; Wahab, M. I. M.; Zhang, Yaojie - In: Pacific-Basin finance journal 54 (2019), pp. 132-146

Persistent link: https://www.econbiz.de/10012133635

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

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