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The upstairs market for large-block transactions : analysis and measurement of price effects
Keim, Donald B.; Madhavan, Ananth Narayan - 1994 - Rev
Persistent link: https://www.econbiz.de/10000887996
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Price continuity rules and insider trading
Dutta, Prajit K.; Madhavan, Ananth Narayan - 1994
Persistent link: https://www.econbiz.de/10000896204
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Security prices and market transparency
Madhavan, Ananth Narayan - 1990
Persistent link: https://www.econbiz.de/10000800653
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Intertemporal price discovery by market makers : active versus passive learning
Leach, J. Chris; Madhavan, Ananth Narayan - 1990
Persistent link: https://www.econbiz.de/10000800684
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Trading mechanisms in securities markets
Madhavan, Ananth Narayan - 1990
Persistent link: https://www.econbiz.de/10000800685
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Applied quantitative finance
Härdle, Wolfgang (ed.); Hautsch, Nikolaus (ed.);  … - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003719524
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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus (contributor) - 2007
We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...
Persistent link: https://www.econbiz.de/10003634717
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A unified theory of underreaction, momentum trading and overreaction in asset markets
Hong, Harrison G.; Stein, Jeremy C. - 1997
Persistent link: https://www.econbiz.de/10000649959
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Stochastic conditional intensity processes
Bauwens, Luc; Hautsch, Nikolaus - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 450-493
Persistent link: https://www.econbiz.de/10003354109
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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3978-4015
Persistent link: https://www.econbiz.de/10003804813