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A re-examination of the "zero is enough" hypothesis in the emergence of financial stylized facts
Brandouy, Olivier; Corelli, Angelo; Veryzhenko, Iryna; … - In: Journal of economic interaction and coordination : JEIC 7 (2012) 2, pp. 223-248
Persistent link: https://www.econbiz.de/10009633323
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The relative informativeness of regular and e-mini Euro/Dollar futures contracts and the role of trader types
Malhotra, Jatin; Corelli, Angelo - In: Risks : open access journal 9 (2021) 6, pp. 1-18
This paper examines the relative contribution of regular and e-mini futures market to price discovery of EUR/USD futures contracts on the Chicago Mercantile Exchange (CME), using intraday data in 2010.The relative contribution to price discovery is estimated using the information share approach...
Persistent link: https://www.econbiz.de/10012598401
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Chapter 7 High-frequency Data
Corelli, Angelo - 2019
Persistent link: https://www.econbiz.de/10015091643
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Chapter 2 Financial Markets and Volatility
Corelli, Angelo - 2019
Persistent link: https://www.econbiz.de/10015091648