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Eighths, sixteenths, and market depth : changes in tick size and liquidity provision on the NYSE
Goldstein, Michael A.; Kavajecz, Kenneth A. - In: Journal of financial economics 56 (2000) 1, pp. 125-149
Persistent link: https://www.econbiz.de/10001468753
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Distilling the macroeconomic news flow
Beber, Alessandro; Brandt, Michael W.; Luisi, Maurizio - In: Journal of financial economics 117 (2015) 3, pp. 489-507
Persistent link: https://www.econbiz.de/10011480308
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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.; Santa-Clara, Pedro - In: Journal of financial economics 63 (2002) 2, pp. 161-210
Persistent link: https://www.econbiz.de/10001636757
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On the relationship between the conditional mean and volatility of stock returns : a latent VAR approach
Brandt, Michael W.; Kang, Qiang - In: Journal of financial economics 72 (2004) 2, pp. 217-257
Persistent link: https://www.econbiz.de/10002033561
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On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach
Brandt, Michael W.; Kang, Qiang - In: Journal of financial economics 72 (2004) 2, pp. 217-258
Persistent link: https://www.econbiz.de/10006504609
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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.; Santa-Clara, Pedro - In: Journal of financial economics 63 (2002) 2, pp. 161-210
Persistent link: https://www.econbiz.de/10006510507