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Modeling bid and ask price dynamics with an extended hawkes process and its empirical applications for high-frequency stock market data
Lee, Kyungsub; Seo, Byoung Ki - In: Journal of financial econometrics 21 (2023) 4, pp. 1099-1142
Persistent link: https://www.econbiz.de/10014391445
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Global stock markets : microstructure, trading mechanisms and bid-ask spreads
Kühle, Martin P. - 2000
Persistent link: https://www.econbiz.de/10001519170
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Predicting bid-ask spreads using long-memory autoregressive conditional poisson models
Groß-Klußmann, Axel; Hautsch, Nikolaus - In: Journal of forecasting 32 (2013) 8, pp. 724-742
Persistent link: https://www.econbiz.de/10010344462
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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel
Freihube, Thorsten - 2004
Persistent link: https://www.econbiz.de/10002122262
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Inferring the private information content of trades : a regime-switching approach
Nyholm, Ken - In: Journal of applied econometrics 18 (2003) 4, pp. 457-470
Persistent link: https://www.econbiz.de/10001779861
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GMM and present value tests of the C-CAPM under transactions costs : evidence from the UK stock market
Gregoriou, A. (contributor); Ioannidis, C. (contributor) - 2003
Persistent link: https://www.econbiz.de/10001768430
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Inferring the private information content of trades : a regime-switching approach
Nyholm, Ken - 1999
Persistent link: https://www.econbiz.de/10001455779
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Analyzing specialist's quoting behaviour : a trade-by-trade study on the NYSE
Nyholm, Ken - 1999
Persistent link: https://www.econbiz.de/10001455818
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Inferring the private information content of trades : a regime-switching approach
Nyholm, Ken - 1999
Persistent link: https://www.econbiz.de/10001373089
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Analyzing specialist's quoting behaviour : a trade-by-trade study on the NYSE
Nyholm, Ken - 1998
Persistent link: https://www.econbiz.de/10001373117