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Does the open limit order book matter in explaining informational volatility?

Pascual, Roberto; Veredas, David - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 57-87

Persistent link: https://www.econbiz.de/10003997330

What pieces of limit order book information are informative?

Pascual, Roberto; Veredas, David - 2004

Persistent link: https://www.econbiz.de/10002344169

Does the open limit order book matter in explaining long run volatility?

Pascual, Roberto (contributor); Veredas, David (contributor) - 2006

Persistent link: https://www.econbiz.de/10003402411

Does the Open Limit Order Book Matter in Explaining Informational Volatility?

Pascual, Roberto - 2010

We evaluate the informational content of the open limit order book by studying its role in explaining the volatility of the efficient price. We separate transitory (liquidity-driven) volatility from informational (efficient price-related) volatility using a dynamic state-space co-integration...

Persistent link: https://www.econbiz.de/10013149616

Econometric modelling of financial durations

Veredas, David - 2002

Persistent link: https://www.econbiz.de/10001724068

Cross-listing, price discovery and the informativeness of the trading process

Pascual, Roberto; Pascual-Fuster, Bartolomé; Climent … - In: Journal of financial markets 9 (2006) 2, pp. 144-161

Persistent link: https://www.econbiz.de/10003326692

On the hidden side of liquidity

Alañón Pardo, Ángel; Pascual, Roberto - In: The European journal of finance 18 (2012) 9/10, pp. 949-967

Persistent link: https://www.econbiz.de/10009691773

Evaluating trade classification algorithms : bulk volume classification versus the tick rule and the Lee-Ready algorithm

Chakrabarty, Bidisha; Pascual, Roberto; Shkilko, Andriy - In: Journal of financial markets 25 (2015), pp. 52-79

Persistent link: https://www.econbiz.de/10011477268

Cross-listing, price discovery and the informativeness of the trading process

Pascual, Roberto (contributor); … - 2003 - [Elektronische Ressource], 1. ed

Persistent link: https://www.econbiz.de/10002181259

Modeling the Probability of Informed Trading in the European Carbon Market

Medina, Vicente - 2014

We provide evidence of informed trading in the European carbon market. We adapt Easley et al.'s (1996) PIN methodology to the particularities of this market by isolating the trading activity on the two carbon offsets: European Union Allowances (EUAs) and Certified Emission Reductions (CERs). We...

Persistent link: https://www.econbiz.de/10013065859