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Persistent link: https://www.econbiz.de/10011307951

High frequency volatility spillover effect based on the Shanghai-Hong Kong Stock Connect Program

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Global financial crisis effects on volatility spillover between Mainland China and Hong Kong stock markets

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An Extended MRR Model for Transaction-Level Analysis of High Frequency Trading Processes

Zhang, Qiang - 2017

Transaction-level analysis of security price change due to Madhavan, Richardson and Roomans (1997, hereafter MRR) has been a useful framework in financial analysis. The one order Markov property of the trade indicator variables is a key assumption in the MRR model, which contradicts the...

Persistent link: https://www.econbiz.de/10012946296