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Price volatility and contract maturity : evidence from an online futures market for sports tickets

Chen, Jihui; Zheng, Xiaoyong - In: Eastern economic journal 40 (2014) 1, pp. 56-70

Persistent link: https://www.econbiz.de/10010422423

Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high requency return data

Lee, Kyungsub - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 19-36

Persistent link: https://www.econbiz.de/10011431109

GMM estimation of a stochastic volatility model with realized volatility: a Monte Carlo study

Chaussé, Pierre; Xu, Dinghai - 2012

Persistent link: https://www.econbiz.de/10009612401

Fear estimation : evidence from BRICS and UK

Ghosh, Bikramaditya; Le Roux, Corlise L.; Ianole, Rodica - In: International journal of business policy and economics 13 (2020) 2, pp. 111-123

Persistent link: https://www.econbiz.de/10012807595

Impact of idiosyncratic volatility on stock returns : a cross-sectional study

Khovansky, Serguey; Zhylyevskyy, Oleksandr - In: Journal of banking & finance 37 (2013) 8, pp. 3064-3075

Persistent link: https://www.econbiz.de/10009777131

A simple efficient moment-based estimator for the stochastic volatility model

Ahsan, Nazmul; Dufour, Jean-Marie - 2019

Persistent link: https://www.econbiz.de/10012244154

Institutional presence in secondary bank bond markets : how does it affect liquidity and volatility?

Oprică, Silviu; Weistroffer, Christian P. - 2019

Using newly available information on euro area sectoral holdings of securities, this paper investigates to what extent the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank financial intermediaries, in particular money...