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New York stock exchange trading halts and volatility

Fong, Wai-ming - In: International review of economics & finance : IREF 5 (1996) 3, pp. 243-257

Persistent link: https://www.econbiz.de/10001214490

Trade size, order imbalance, and the volatility-volume relation

Chan, Kalok; Fong, Wai-ming - In: Journal of financial economics 57 (2000) 2, pp. 247-273

Persistent link: https://www.econbiz.de/10001494741

Investor participation and the volatility-volume relation : evidence from an emerging market

Bian, Jiangze; Chan, Kalok; Fong, Wai-ming - In: Emerging markets review 45 (2020)

Persistent link: https://www.econbiz.de/10012503237

Expectations and risk premia at 8:30AM : macroeconomic announcements and the yield curve

Hördahl, Peter; Remolona, Eli M.; Valente, Giorgio - 2015

Persistent link: https://www.econbiz.de/10011437580

Understanding the price of volatility risk in carry trades

Ahmed, Shamim; Valente, Giorgio - In: Journal of banking & finance 57 (2015), pp. 118-129

Persistent link: https://www.econbiz.de/10011543818

High-frequency trading in the U.S. treasury market around macroeconomic news announcements

Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2018

Persistent link: https://www.econbiz.de/10012202019

High-Frequency Trading in the U.S. Treasury Market Around Macroeconomic News Announcements

Jiang, George J. - 2018

This paper investigates high-frequency (HF) trading in the U.S. Treasury market around macroeconomic news announcements. After identifying HF market and limit orders based on the speed of their placement alteration and cancellation deemed beyond manual ability, we use the introduction of the...

Persistent link: https://www.econbiz.de/10012912840

Can currency-based risk factors help forecast exchange rates?

Ahmed, Shamim; Liu, Xiaoquan; Valente, Giorgio - In: International journal of forecasting 32 (2016) 1, pp. 75-97

Persistent link: https://www.econbiz.de/10011596451

Emerging market bond flows and exchange rate returns

Hördahl, Peter; Valente, Giorgio - 2022

Persistent link: https://www.econbiz.de/10013399765

Volatility Control Mechanisms : The International Experience and the Evidence from Hong Kong

Chan, Kalok; Lam, F. Y. Eric; Valente, Giorgio; Wu, Siyuan - 2022

This working paper was written by Kalok Chan (Chinese University of Hong Kong Business School), F.Y. Eric Lam (Independent Researcher)*, Giorgio Valente (Hong Kong Institute for Monetary and Financial Research) and Siyuan Wu (Chinese University of Hong Kong Business School).Trading venues have...

Persistent link: https://www.econbiz.de/10013492074