Similar Search Results - EconBiz

Filtration enlargement-based time series forecast in view of insider trading

Bennett, Luke M.; Hu, Wei - In: Journal of economic surveys 37 (2023) 1, pp. 112-140

Persistent link: https://www.econbiz.de/10014287808

Effizienz in Aktienmärkten : Bewertung von Information unter Berücksichtigung von Wechselwirkungen in Multiagentensystemen

Rothenstein, Roland - 2004

Persistent link: https://www.econbiz.de/10002230490

Private Information behind Insider Trades : Evidence from Cross Section and Time Series

Chi, Yeguang - 2020

We examine the private information associated with insider trades using a Chinese data set. Insider buys positively forecast individual stock returns and insider sales negatively forecast individual stock returns. Classifying insiders as corporate managers and institutional investors, we find...

Persistent link: https://www.econbiz.de/10012834521

Autoregressive conditional duration models in finance : a survey of the theoretical and empirical literature

Pacurar, Maria - In: Journal of economic surveys 22 (2008) 4, pp. 711-751

Persistent link: https://www.econbiz.de/10003748679

Efficient estimation of integrated volatility incorporating trading information

Li, Yingying; Xie, Shangyu; Zheng, Xinghua - In: Journal of econometrics 195 (2016) 1, pp. 33-50

Persistent link: https://www.econbiz.de/10011705231

A pulse check on recent developments in time series econometrics

Chan, Felix; Oxley, Les - In: Journal of economic surveys 37 (2023) 1, pp. 3-6

Persistent link: https://www.econbiz.de/10014287721

Large Large-trader activity weakens the long memory of limit order markets

Primicerio, Kevin; Challet, Damien - In: Market microstructure and liquidity 4 (2018) 1/2, pp. 1-12

Persistent link: https://www.econbiz.de/10012256411

Intraday trading invariancein the E-mini S&P 500 futures market

Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2020

Persistent link: https://www.econbiz.de/10012494219

The long memory of order flow in the foreign exchange spot market

Gould, Martin; Porter, Mason A.; Howison, Sam - In: Market microstructure and liquidity 2 (2016) 1, pp. 1-40

Persistent link: https://www.econbiz.de/10011588230

Canonical decomposition of linear transformations of two independent Brownian motions

Föllmer, Hans; Wu, Ching-Tang; Yor, Marc - 1998

Persistent link: https://www.econbiz.de/10000993120

1
2
3
4
5
6
7
8
9
10
Next
Last

A service of the