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Returns, Volatility, and Liquidity on the ASX

Allen, David; Cheng, Alexander Shu-Sing; … - 2008

Persistent link: https://www.econbiz.de/10009440849

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

Yet another autoregressive duration model : the ACDD model

Jeyasreedharan, Nagaratnam; Allen, David E.; Yang, Joey … - 2008

Persistent link: https://www.econbiz.de/10003959771

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

6 An Examination of the Role of Time and its Impact on Price Revision

Allen, David; Peiris, Shelton; Yang, Joey Wenling - In: Australian journal of management 30 (2005) 2, pp. 283-302

Persistent link: https://www.econbiz.de/10006956661

An Examination of the Role of Time and its Impact on Price Revision

Allen, David; Peiris, Shelton; Yang, Joey Wenling - In: Australian Journal of Management 30 (2005) 2, pp. 283-301

We consider a new class of time series models (introduced by Engle & Russell 1998) used in statistical applications in finance. These models treat the time between events (durations) as a stochastic process and the corresponding durations are modelled using a theory similar to that of...

Persistent link: https://www.econbiz.de/10010769599