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What the investors need to know about forecasting oil futures return volatility

Wang, Yudong; Liu, Li; Ma, Feng; Wu, Chongfeng - In: Energy economics 57 (2016), pp. 128-139

Persistent link: https://www.econbiz.de/10011698302

Intraday patterns in FX returns and order flow

Breedon, Francis J.; Ranaldo, Angelo - 2012

Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...

Persistent link: https://www.econbiz.de/10009521479

How predictable are equity covariance matrices? : evidence from high-frequency data for four markets

Buckle, Michael J.; Chen, Jing; Williams, Julian - In: Journal of forecasting 33 (2014) 7, pp. 542-557

Persistent link: https://www.econbiz.de/10011282861

A review of the international literature on the short term predictability of stock prices conditional on large prior price changes : microstructure, behavioral and risk related exp...

Amini, Shima; Ge̜bka, Bartosz; Hudson, Robert; Keasey, … - In: International review of financial analysis 26 (2013), pp. 1-17

Persistent link: https://www.econbiz.de/10009717232

Intraday patterns in FX returns and order flow

Breedon, Francis J.; Ranaldo, Angelo - In: Journal of money, credit and banking : JMCB 45 (2013) 5, pp. 953-965

Persistent link: https://www.econbiz.de/10010197597

Autocorrelation and partial price adjustment

Anderson, Robert M.; Eom, Kyong Shik; Hahn, Sang Buhm; … - In: Journal of empirical finance 24 (2013), pp. 78-93

Persistent link: https://www.econbiz.de/10010371989

Order aggressiveness, price impact, and investment performance in a pure order-driven stock market

Hung, Pi-Hsia; Chen, An-sing; Wu, Yun-Lin - In: Asia-Pacific journal of financial studies 44 (2015) 4, pp. 635-660

Persistent link: https://www.econbiz.de/10011470988

Price adjustment method and ex-dividend day returns in a different institutional setting

Asimakopoulos, Panagiotis N.; Tsangarakis, Nickolaos V.; … - In: International review of financial analysis 41 (2015), pp. 1-12

Persistent link: https://www.econbiz.de/10011508534

The microstructure of fear, the Fama-French factors and the global financial crisis of 2007 and 2008

Lim, Dominic; Durand, Robert B.; Yang, Wenling - In: Global finance journal 25 (2014) 3, pp. 169-180

Persistent link: https://www.econbiz.de/10010473396

The observed asymptotic variance : hard edges, and a regression approach

Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 222 (2021) 1,2, pp. 411-428

Persistent link: https://www.econbiz.de/10012619653