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A dynamic intraday measure of the probability of informed trading and firm-specific return variation
Chang, Sanders S.; Chang, Lenisa V.; Wang, F. Albert - In: Journal of empirical finance 29 (2014), pp. 80-94
Persistent link: https://www.econbiz.de/10011300503
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Adverse selection and the presence of informed trading
Chang, Sanders S.; Wang, F. Albert - In: Journal of empirical finance 33 (2015), pp. 19-33
Persistent link: https://www.econbiz.de/10011556834
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The power and size of mean reversion tests
Daniel, Kent - In: Journal of empirical finance 8 (2001) 5, pp. 493-535
Persistent link: https://www.econbiz.de/10001655351
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Range-based DCC models for covariance and value-at-risk forecasting
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 54 (2019), pp. 58-76
Persistent link: https://www.econbiz.de/10012174846
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Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 70 (2023), pp. 308-321
Persistent link: https://www.econbiz.de/10014423712