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Efficient multipowers
Kolokolov, Aleksey; Renò, Roberto - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 629-659
Persistent link: https://www.econbiz.de/10011988002
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The semi-strong efficiency debate : in search of a new testing framework
Ziliotto, Arianna; Serati, Massimiliano - In: Research in international business and finance 34 (2015), pp. 412-438
Persistent link: https://www.econbiz.de/10011326196
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Information acquisition, efficiency, and nonfundamental volatility
Hébert, Benjamin; La'O, Jennifer - In: Journal of political economy 131 (2023) 10, pp. 2666-2723
Persistent link: https://www.econbiz.de/10014420242
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Low-risk effect : evidence, explanations and approaches to enhancing the performance of low-risk investment strategies
Joshipura, Mayank; Joshipura, Nehal - In: Investment management and financial innovations 17 (2020) 2, pp. 128-145
Persistent link: https://www.econbiz.de/10012303103
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Futures trading costs and market microstructure invariance : identifying bet activity
Hou, Ai Jun; Nordén, Lars L.; Xu, Caihong - In: The journal of futures markets 44 (2024) 6, pp. 901-922
Persistent link: https://www.econbiz.de/10014536704
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Stock market efficiency analysis using long spans of Data : a multifractal detrended fluctuation approach
Tiwari, Aviral Kumar; Aye, Goodness C.; Gupta, Rangan - In: Finance research letters 28 (2019), pp. 398-411
Persistent link: https://www.econbiz.de/10012388354
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Informed trading, market efficiency and volatility
Sung, Ming-chien; Johnson, Johnnie E. V.; McDonald, … - In: Economics letters 149 (2016), pp. 56-59
Persistent link: https://www.econbiz.de/10011620094
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The efficiency of the realized range measure of daily volatility : evidence from Greece
Papavassiliou, Vassilios G. - In: Economic notes : economic review of Banca Monte dei … 41 (2012) 3, pp. 173-182
Persistent link: https://www.econbiz.de/10009746723
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Why cryptocurrency markets are inefficient : the impact of liquidity and volatility
Al-Yahyaee, Khamis Hamed; Mensi, Walid; Ko, Hee-Un; … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012654953
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Most Efficient Homogeneous Volatility Estimators
Saichev, Alexander I. - 2010
We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The … main tool of our theory is the parsimonious encoding of all the information contained in the OHLC prices for a given time … expression is derived exactly for Wiener processes with drift. The efficiency of the new proposed estimators is favorably …
Persistent link: https://www.econbiz.de/10013144341