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Predicting volatility with realized absolute values : evidence from the Tokyo stock exchange

Nagata, Shuichi - In: The empirical economics letters : a monthly … 11 (2012) 6, pp. 551-558

Persistent link: https://www.econbiz.de/10009758150

Volatility forecasting using related markets' information for the Tokyo stock exchange

Jayawardena, Nirodha I.; Todorova, Neda; Li, Bin; Su, Jen-je - In: Economic modelling 90 (2020), pp. 143-158

Persistent link: https://www.econbiz.de/10012428085

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

Multifractal models, intertrade durations and return volatility

Segnon, Mawuli - 2015

Persistent link: https://www.econbiz.de/10011299266

Reflecting on the VPIN dispute

Andersen, Torben; Bondarenko, Oleg - In: Journal of financial markets 17 (2014), pp. 53-64

Persistent link: https://www.econbiz.de/10010436245

VPIN and the flash crash

Andersen, Torben; Bondarenko, Oleg; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 1-46

Persistent link: https://www.econbiz.de/10010436257

Price Jump Prediction in Limit Order Book

Zheng, Ban - 2012

A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that liquidity balance on best bid/best ask is quite informative...

Persistent link: https://www.econbiz.de/10013108794

Reducing transaction costs using intraday forecasts of limit order book slopes

Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - 2021

Persistent link: https://www.econbiz.de/10012615644

The relationship between the volatility of returns and the number of jumps in financial markets

Cartea, Álvaro; Karyampas, Dimitrios - In: Econometric reviews 35 (2016) 5/7, pp. 929-950

Persistent link: https://www.econbiz.de/10011590735

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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