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Trade timing, price volatility and serial correlation
Wang, Ming-chang; Zu, Lon-ping - In: European financial management : the journal of the … 19 (2013) 5, pp. 911-934
Persistent link: https://www.econbiz.de/10010237351
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Autoregressive conditional duration models in finance : a survey of the theoretical and empirical literature
Pacurar, Maria - In: Journal of economic surveys 22 (2008) 4, pp. 711-751
Persistent link: https://www.econbiz.de/10003748679
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A family of autoregressive conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 130 (2006) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10003228621
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A family of autoregressive conditional duration models
Fernandes, Marcelo; Grammig, Joachim - 2001
Persistent link: https://www.econbiz.de/10001640351
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Information-Based Trading and Autocorrelation in Individual Stock Returns
Yin, Xiangkang - 2016
return autocorrelation. But return is more likely to reverse itself on days with continuous trading due to investor … disagreement, leading return autocorrelation to be more negative. Contrarian trading strategies conditional on daily measures of …
Persistent link: https://www.econbiz.de/10013003395
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Information-Based Trading and Autocorrelation in Individual Stock Returns
Yin, Xiangkang - 2016
return autocorrelation. But return is more likely to reverse itself on days with continuous trading on dispersion in beliefs …, leading return autocorrelation to be more negative. Contrarian trading strategies conditional on daily measures of investment …
Persistent link: https://www.econbiz.de/10013003995
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Information in Noise : Strategic Trading under Autocorrelated Uninformed Orders
Gounas, Vladislav - 2021
structure that generates autocorrelation in the order flow. Since the order flow is predictable, informed traders and the market … prices. Since the empirical autocorrelation in order flows is likely to come from uninformed traders, strategic trading …
Persistent link: https://www.econbiz.de/10013240129
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Asymmetric information, entrepreneurial activity, and the scope of fiscal policy in an open regional economy
Batabyal, Amitrajeet A.; Nijkamp, Peter - In: International regional science review 33 (2010) 4, pp. 421-436
Persistent link: https://www.econbiz.de/10008728734
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Essays in econometrics
Spindler, Martin - 2012
Persistent link: https://www.econbiz.de/10009619946
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Econometrics of the Basu Asymmetric Timeliness Coefficient and Accounting Conservatism
Ball, Ray - 2013
A substantial literature investigates conditional conservatism, defined as asymmetric accounting recognition of economic shocks ("news"), and how it depends on various market, political, and institutional variables. Studies typically assume the Basu [1997] asymmetric timeliness coefficient (the...
Persistent link: https://www.econbiz.de/10013072423