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News and idiosyncratic volatility : the public information processing hypothesis
Engle, Robert F.; Hansen, Martin Klint; Karagozoglu, … - In: Journal of financial econometrics 19 (2021) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10012504316
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A mixed frequency stochastic volatility model for intraday stock market returns
Bekierman, Jeremias; Gribisch, Bastian - In: Journal of financial econometrics 19 (2021) 3, pp. 496-530
Persistent link: https://www.econbiz.de/10012654963
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Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef; Nevrla, Matĕj - In: Journal of financial econometrics 21 (2023) 5, pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
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Price discovery in high resolution
Hasbrouck, Joel - In: Journal of financial econometrics 19 (2021) 3, pp. 395-430
Persistent link: https://www.econbiz.de/10012654935
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Comment on: price discovery in high resolution
Brugler, James; Comerton-Forde, Carole - In: Journal of financial econometrics 19 (2021) 3, pp. 431-438
Persistent link: https://www.econbiz.de/10012654938
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Comment on: price discovery in high resolution
Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 19 (2021) 3, pp. 439-451
Persistent link: https://www.econbiz.de/10012654941
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Comment on: price discovery in high resolution
Jong, Frank de - In: Journal of financial econometrics 19 (2021) 3, pp. 452-458
Persistent link: https://www.econbiz.de/10012654944