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Determinants of bid and ask quotes and implications for the cost of trading
Zhang, Michael Yuanjie; Russell, Jeffrey R.; Tsay, Ruey S. - In: Journal of empirical finance 15 (2008) 4, pp. 656-678
Persistent link: https://www.econbiz.de/10003759740
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A comparison of trading and non-trading mechanisms for price discovery
Barclay, Michael J.; Hendershott, Terrence - In: Journal of empirical finance 15 (2008) 5, pp. 839-849
Persistent link: https://www.econbiz.de/10003776361
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Multivariate autoregressive modeling of time series count data using copulas
Heinen, Andréas; Rengifo, Erick W. - In: Journal of empirical finance 14 (2007) 4, pp. 564-583
Persistent link: https://www.econbiz.de/10003609942
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A functional approach to the price impact of stock trades and the implied true price
Huang, Roger D.; Ting, Christopher - In: Journal of empirical finance 15 (2008) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10003692958
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Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s
Benston, George J.; Wood, Robert A. - In: Journal of empirical finance 15 (2008) 1, pp. 17-40
Persistent link: https://www.econbiz.de/10003692963
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Noise trading and the price formation process
Berkman, Henk; Koch, Paul Douglas - In: Journal of empirical finance 15 (2008) 2, pp. 232-250
Persistent link: https://www.econbiz.de/10003699131
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Finite sample accuracy and choice of sampling frequency in integrated volatility extimation
Nielsen, Morten Ørregaard; Frederiksen, Per - In: Journal of empirical finance 15 (2008) 2, pp. 265-286
Persistent link: https://www.econbiz.de/10003699137
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The characteristics of informed trading : implications for asset pricing
Aslan, Hadiye; Easley, David; Hvidkjær, Søren; … - In: Journal of empirical finance 18 (2011) 5, pp. 782-801
Persistent link: https://www.econbiz.de/10009492072
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Order flow and volatility : an empirical investigation
Opschoor, Anne; Taylor, Nicholas; Wel, Michel van der; … - In: Journal of empirical finance 28 (2014), pp. 185-201
Persistent link: https://www.econbiz.de/10011285068
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An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange
Yamamoto, Ryuichi - In: Journal of empirical finance 29 (2014), pp. 369-383
Persistent link: https://www.econbiz.de/10011300454