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Bayesian learning in financial markets : price adjustments, fundamentals, and risk
Müller, Christoph - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003866148
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Liquidity biases and the pricing of cross-sectional idiosyncratic volatility
Han, Yufeng; Lesmond, David - In: The review of financial studies 24 (2011) 5, pp. 1590-1629
Persistent link: https://www.econbiz.de/10009011373
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Multifractal models, intertrade durations and return volatility
Segnon, Mawuli - 2015
Persistent link: https://www.econbiz.de/10011299266
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Macroeconomic news announcements and price discovery : evidence from Canadian-U.S. cross-listed firms
Frijns, Bart; Indriawan, Ivan; Tourani Rad, Alireza - In: Journal of empirical finance 32 (2015), pp. 35-48
Persistent link: https://www.econbiz.de/10011556775
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Private information flow and price discovery in the US treasury market
Jiang, George J.; Lo, Ingrid - In: Journal of banking & finance 47 (2014), pp. 118-133
Persistent link: https://www.econbiz.de/10010506499
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Overnight public information, order placement, and price discovery during the pre-opening period
Moshirian, Fariborz; Nguyen, Huong Giang; Pham, Peter Kien - In: Journal of banking & finance 36 (2012) 10, pp. 2837-2851
Persistent link: https://www.econbiz.de/10009673149
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The quality of price formation at market openings and closings : evidence from the Nasdaq stock market
Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008
sharpens the picture of intra-day volatility accentuations: they are concentrated within the first two minutes after the open … Nasdaq’s calls have reduced this volatility, reorganized order flow, and lowered volatility persistence. Opening and closing … innovation -- Opening Price ; Closing Price ; Price Discovery ; Intra-Day Volatility ; Market Microstructure ; Equity Markets …
Persistent link: https://www.econbiz.de/10003831253
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Liquidity biases and the pricing of cross-sectional idiosyncratic volatility around the world
Han, Yufeng; Hu, Ting; Lesmond, David A. - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 6, pp. 1269-1292
Persistent link: https://www.econbiz.de/10011479098
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Modelling financial transaction price movements : a dynamic integer count data model
Liesenfeld, Roman; Nolte, Ingmar; Pohlmeier, Winfried - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 795-825
Persistent link: https://www.econbiz.de/10003233759
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Why do security prices change? : A transaction-level analysis of NYSE stocks
Madhavan, Ananth Narayan - In: The review of financial studies 10 (1997) 4, pp. 1035-1064
Persistent link: https://www.econbiz.de/10001229607