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Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.; Schäfer, Rudi; Guhr, Thomas - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
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Volatility clustering in financial markets : a microsimulation of interacting agents
Lux, Thomas; Marchesi, Michele - In: International journal of theoretical and applied finance 3 (2000) 4, pp. 675-702
Persistent link: https://www.econbiz.de/10001526862
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Modeling the risk and return relation conditional on markt volatility and market conditions
Galagedera, Don U. A.; Faff, Robert W. - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10002625219
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Causal linkages among Shanghai, Shenzhen, and Hong Kong stock markets
Zhu, Hongquan; Lu, Zu-di; Wang, Shouyang; Soofi, Abdollah S. - In: International journal of theoretical and applied finance 7 (2004) 2, pp. 135-149
Persistent link: https://www.econbiz.de/10002021489
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A multivariate regime switching approach to the relation between the stock market, the interest rate and output
Kanas, Angelos - In: International journal of theoretical and applied finance 11 (2008) 7, pp. 657-671
Persistent link: https://www.econbiz.de/10003791845
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Fractional integration in the stock market volatility series
Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 5 (2002) 8, pp. 775-783
Persistent link: https://www.econbiz.de/10001763176
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General semi-Markov model for limit order books
Sviščuk, Anatolij; Hofmeister, Tyler; Cera, Katharina; … - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011686928
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Market price of trading liquidity risk and market depth
Kijima, Masaaki; Ting, Christopher - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10012183242
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Incoporating price-relevant information between quotes and trades : a new measure of the effective bid-ask spread
Kim, Sung-hun; Ogden, Joseph P. - In: International journal of theoretical and applied finance 2 (1999) 2, pp. 179-200
Persistent link: https://www.econbiz.de/10001394249
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Kyle-Back's model with a random horizon
Corcuera, José Manuel; Di Nunno, Giulia - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-41
Persistent link: https://www.econbiz.de/10011854431