the case of very short time price changes (VSTPC). This topic is not specifically examined in the existing literature … psychological time threshold, most factors typically influencing price changes cease to apply. This paper analyzes several … trading time above a certain psychological threshold, the volumes exchanged are not integral agents for VSTPC. Currently …

We study conference calls as a voluntary disclosure channel and create a proxy for the time horizon that senior … executives emphasize in their communications. We find that our measure of disclosure time horizon is associated with capital …. Overall, the results show that the time horizon of conference call narratives can be informative about managers' myopic …

This paper investigates the potentially time-varying importance of spot and futures markets in the price discovery … for state-dependent relevance of different markets over time. Instead of using a linear vector error correction model …-switching VECM with time-varying adjustment behaviour and state-dependent covariance matrices. Simulation results confirm that state …

oil markets at different time scales, under linear and non-linear causality assumptions, and also during the recent …