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The efficiency of capital market microstructure in Greece
Mertzanis, Harilaos V. - In: Financial engineering, E-commerce and supply chain, (pp. 119-137). 2002
Persistent link: https://www.econbiz.de/10001747019
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The effects of automation on liquidity, volatility, stock returns and efficiency : evidence from the Tunisian stock market
Sioud, Olfa Benouda; Hmaied, Dorra Mezzez - In: Review of Middle East economics and finance 1 (2003) 2, pp. 141-154
Persistent link: https://www.econbiz.de/10001802854
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How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volume
Michalon, Karine - 2012
stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …
Persistent link: https://www.econbiz.de/10013101249
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Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets
Duppati, Geeta - 2016
This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI …-sample forecast accuracy. The results confirmed the presence of long memory in both the return and volatility series for all the five … markets under study. Among the group, CNIA and STI showed most persistence in both the return and conditional volatility. In …
Persistent link: https://www.econbiz.de/10013003892
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A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
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Dissecting the idiosyncratic volatility anomaly
Chen, Linda H.; Jiang, George J.; Xu, Danielle D.; Yao, Tong - In: Journal of empirical finance 59 (2020), pp. 193-209
Persistent link: https://www.econbiz.de/10012437973
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Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
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Asymmetric relationship between order imbalance and realized volatility : evidence from the Australian market
Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Do, … - In: International review of economics & finance : IREF 62 (2019), pp. 309-320
Persistent link: https://www.econbiz.de/10012205552
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Jumps at ultra-high frequency : evidence from the Chinese stock market
Zhang, Chuanhai; Liu, Zhi; Liu, Qiang - In: Pacific-Basin finance journal 68 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10013332776
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High-frequency trading, stock volatility, and intraday crashes
Ben Ammar, Imen; Hellara, Slaheddine - In: The quarterly review of economics and finance : journal … 84 (2022), pp. 337-344
Persistent link: https://www.econbiz.de/10013334894