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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

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

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

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

Intraday analysis of regulation change in microstructure : evidence from an emerging market

Kadioglu, Eyup - In: International journal of emerging markets 18 (2023) 5, pp. 1216-1235

Persistent link: https://www.econbiz.de/10014333628

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

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

Forecasting stock return volatility : realized volatility-type or duration-based estimators

Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621

Persistent link: https://www.econbiz.de/10014432725

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

Volatility of order imbalance of institutional traders and expected asset returns : evidence from Taiwan

Huang, Hong-Gia; Tsai, Wei-Che; Weng, Pei-Shih; Wu, … - In: Journal of financial markets 52 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10013266271

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