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Kointegration
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Caporale, Guglielmo Maria
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1
Price discovery in floor and screen trading systems
Theissen, Erik
-
2001
equal when transaction prices are used for the
estimation
. Models based on quote midpoints indicate that the electronic …
Persistent link: https://www.econbiz.de/10011540052
Saved in:
2
Price discovery in floor and screen trading systems
Theissen, Erik
-
2001
Persistent link: https://www.econbiz.de/10001645851
Saved in:
3
Price discovery in floor and screen trading systems
Theissen, Erik
- In:
Journal of empirical finance
9
(
2002
)
4
,
pp. 455-474
Persistent link: https://www.econbiz.de/10001711976
Saved in:
4
Estimating the price impact of market orders on the Bucharest stock exchange
Bahna, Mircea
;
Cepoi, Cosmin Octavian
;
Dumitrescu, Bogdan
; …
- In:
Romanian journal of economic forecasting
21
(
2018
)
4
,
pp. 120-133
Persistent link: https://www.econbiz.de/10012021919
Saved in:
5
A non-normal framework for price discovery : the Independent Component based Information Shares measure
Zema, Sebastiano Michele
-
2023
general theoretical framework leading to the
estimation
of the IC-IS is illustrated. After testing the robustness of the …
Persistent link: https://www.econbiz.de/10013489765
Saved in:
6
Herding
behaviour theory and oil price dispersion : a sectoral analysis of the Gulf Cooperation Council stock market
Medhioub, Imed
;
Chaffai, Mustapha
- In:
The journal of asset management : a major new, …
22
(
2021
)
1
,
pp. 43-50
Persistent link: https://www.econbiz.de/10012487593
Saved in:
7
Transaction duration and asymmetric price impact of trades : evidence from Australia
Yang, Joey Wenling
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 91-102
Persistent link: https://www.econbiz.de/10009301172
Saved in:
8
The market impact of a limit order
Hautsch, Nikolaus
;
Huang, Ruihong
- In:
Journal of economic dynamics & control
36
(
2012
)
4
,
pp. 501-522
Persistent link: https://www.econbiz.de/10009554343
Saved in:
9
Stock market interactions and the impact of macroeconomic news : evidence from high frequency data of European futures markets
Cantó, Beatriu
(
contributor
);
Kräussl, Roman
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003446407
Saved in:
10
Estimation
of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
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