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Invariance in buy-sell switching points

Bae, Kyoung-hun; Bondarenko, Oleg; Lee, Eun Jung; … - 2020

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A reverse index futures split effect on liquidity and market dynamics

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Impacts of relatively rational and irrational investor sentiment on realized volatility

Tseng, Tseng-Chan; Lai, Hung-Cheng; Chen, Jih-Kuang - In: Asian economic journal : journal of the East Asian … 36 (2022) 4, pp. 458-478

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Measuring and modeling risk using high-frequency data

Härdle, Wolfgang (contributor); … - 2008

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management.The recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for the daily or lower frequency volatility can be...