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Designing realized Kernels to measure the ex post variation of equity prices in the presence of noise

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 6, pp. 1481-1536

Persistent link: https://www.econbiz.de/10003797079

Is there a viable alternative to ordinary least squares regression when security abnormal returns are the dependent variable?

Karafiath, Imre - In: Review of quantitative finance and accounting 32 (2009) 1, pp. 17-31

Persistent link: https://www.econbiz.de/10003803531

An analysis of the opening mechanisms of exchange traded fund markets

Nguyen, Vanthuan; Phengpis, Chanwit - In: The quarterly review of economics and finance : journal … 49 (2009) 2, pp. 562-577

Persistent link: https://www.econbiz.de/10003852500

Time and the price impact of a trade : a structural approach

Grammig, Joachim; Theissen, Erik; Wünsche, Oliver - 2011

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...