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Equity trading volume and volatility : latent information arrivals and common long-run dependencies
Bollerslev, Tim - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 1, pp. 9-21
Persistent link: https://www.econbiz.de/10001253392
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Concentrated trading in the foreign exchange futures markets : discretionary liquidity trading of market closure?
Ferguson, Michael F. - In: The journal of futures markets 18 (1998) 3, pp. 343-362
Persistent link: https://www.econbiz.de/10001242648
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Microstructure invariance in U.S. stock market trades
Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - 2016 - This draft: April 19, 2016
include the invariance-implied measure of effective price volatility …
Persistent link: https://www.econbiz.de/10011500337
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Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets
Bjursell, Johan; Gentle, James E.; Wang, George H. K. - In: Energy economics 48 (2015), pp. 336-349
Persistent link: https://www.econbiz.de/10011533829
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Financialization in commodity markets
Chari, Varadarajan V.; Christiano, Lawrence J. - 2017
growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …
Persistent link: https://www.econbiz.de/10011775006
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Financialization in commodity markets
Chari, Varadarajan V.; Christiano, Lawrence J. - 2017
Persistent link: https://www.econbiz.de/10011739658
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Exchange traded funds and stock market volatility
Xu, Liao; Yin, Xiangkang - In: International review of finance 17 (2017) 4, pp. 525-560
Persistent link: https://www.econbiz.de/10011807182
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Herding effect on idiosyncratic volatility in U.S. industries
BenSaïda, Ahmed - In: Finance research letters 23 (2017), pp. 121-132
Persistent link: https://www.econbiz.de/10011808374
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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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Volume weighted volatility : empirical evidence for a new realised volatility measure
Padungsaksawasdi, Chaiyuth; Daigler, Robert T. - In: International journal of banking, accounting and finance 9 (2018) 1, pp. 61-87
Persistent link: https://www.econbiz.de/10011955195