Narrow search
Showing 1 - 4 of 4
Cover Image
Estimating the beta-return relationship by considering the sign and the magnitude of daily returns
Ben Sita, Bernard - In: The quarterly review of economics and finance : journal … 67 (2018), pp. 28-35
Persistent link: https://www.econbiz.de/10012034395
Cover Image
Crude oil and gasoline volatility risk into a Realized-EGARCH model
Ben Sita, Bernard - In: Review of quantitative finance and accounting 53 (2019) 3, pp. 701-720
Persistent link: https://www.econbiz.de/10012234368
Cover Image
The role of trading intensity estimating the implicit bid-ask spread and determining transitory effects
Ben Sita, Bernard; Westerholm, P. Joakim - In: International review of financial analysis 20 (2011) 5, pp. 306-310
Persistent link: https://www.econbiz.de/10009492103
Cover Image
The Role of Trading Intensity Estimating the Implicit Bid-Ask Spread and Determining Transitory Effects
Ben Sita, Bernard - 2011
In this paper, we investigate the information content of trading intensity within the Madhavan, Richardson and Roomans (1997) structural model, where trading intensity is expressed in terms of trading momentum in duration and volume, respectively. We use both transactions and intraday data from...
Persistent link: https://www.econbiz.de/10013133579