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Volume and the nonlinear dynamics of stock returns
Hsu, Chiente - 1998
Persistent link: https://www.econbiz.de/10013278146
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Formation of market beliefs in the oil market
Anatolyev, Stanislav; Seleznev, Sergei; Selezneva, Veronika - 2018
Persistent link: https://www.econbiz.de/10011911982
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Market liquidity and trading activity
Chordia, Tarun; Roll, Richard; Subrahmanyam, Avanidhar - In: The journal of finance : the journal of the American … 56 (2001) 2, pp. 501-530
Persistent link: https://www.econbiz.de/10001604100
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Market liquidity and flow-driven risk
Deuskar, Prachi; Johnson, Tim - In: The review of financial studies 24 (2011) 3, pp. 721-753
Persistent link: https://www.econbiz.de/10008934104
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Liquidity, volume and volatility in US electricity futures : the case of Palo Verde
Goss, Barry A. - In: Applied financial economics letters 2 (2006) 1, pp. 43-46
Persistent link: https://www.econbiz.de/10003301824
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High-frequency cross-market trading : model free measurement and applications
Dobrev, Dobrislav; Schaumburg, Ernst - 2017 - This version: December 30, 2016
Persistent link: https://www.econbiz.de/10012805580
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Are Volatility Over Volume Liquidity Proxies Useful for Global or US Research?
Fong, Kingsley Y. L. - 2018
We examine a general class of volatility over volume liquidity proxies as computed from low frequency (daily) data. We … liquidity proxy “VoV(%Spread)” for percent spread cost and a new volatility over volume liquidity proxy “VoV(λ)” for the slope … of the transaction cost function “λ”. We test the monthly and daily versions of these new and existing liquidity proxies …
Persistent link: https://www.econbiz.de/10012933698
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Volume-volatility dynamics in an intertemporal asset pricing model
Hsu, Chiente - In: Macroeconomic dynamics 4 (2000) 4, pp. 506-533
Persistent link: https://www.econbiz.de/10001548629
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Option pricing under stochastic volatility and trading volume
Ono, Sadayuki (contributor) - 2007
Persistent link: https://www.econbiz.de/10003428523
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Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011432792