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Yet another autoregressive duration model : the ACDD model
Jeyasreedharan, Nagaratnam; Allen, David E.; Yang, Joey … - 2008
Persistent link: https://www.econbiz.de/10003959771
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The impact of undisclosed vs. disclosed limit orders : evidence from inter-day returns, signalling, information effects on the ASX
Allen, David E.; Cheng, Alexander Shu-sing; Yang, Joey … - 2007
Persistent link: https://www.econbiz.de/10003669080
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Returns, volatility, and liquidity on the ASX : undisclosed versus disclosed limit orders
Allen, David E.; Cheng, Alexander Shu-sing; … - In: Stock market liquidity : implications for market …, (pp. 227-245). 2008
Persistent link: https://www.econbiz.de/10003650538