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Does the open limit order book matter in explaining informational volatility?
Pascual, Roberto; Veredas, David - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 57-87
Persistent link: https://www.econbiz.de/10003997330
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On the hidden side of liquidity
Alañón Pardo, Ángel; Pascual, Roberto - In: The European journal of finance 18 (2012) 9/10, pp. 949-967
Persistent link: https://www.econbiz.de/10009691773
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Does the open limit order book matter in explaining long run volatility?
Pascual, Roberto (contributor); Veredas, David (contributor) - 2006
Persistent link: https://www.econbiz.de/10003402411
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US cross-listing and domestic high-frequency trading : evidence from Canadian stocks
Dodd, Olga; Frijns, Bart; Indriawan, Ivan; Pascual, Roberto - In: Journal of empirical finance 72 (2023), pp. 301-320
Persistent link: https://www.econbiz.de/10014476858
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Market-wide illiquidity and the distribution of non-parametric stochastic discount factors
Abad Díaz, David; Nieto Domenech, Belen; Pascual, Roberto - In: International review of financial analysis 87 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014460538