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Dimensional Analysis, Leverage Neutrality, and Market Microstructure Invariance
Kyle, Albert S. - 2017
variables in terms of dollar trading volume and volatility. The scaling laws are illustrated using data on bid-ask spreads and …
Persistent link: https://www.econbiz.de/10012969188
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The Dynamics of Stock Price Adjustment to Fundamentals : An Empirical Essay via STAR Models in the Tunisian Stock Market
Boussaidi, Ramzi - 2017
This paper examines the dynamics of stock prices adjustment to fundamental value proxied by dividend per share and earnings per share on the Tunisian stock market based on the cointegration techniques. First, the linear cointegration between stock prices and fundamental values is examined by...
Persistent link: https://www.econbiz.de/10012971062
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Estimating Long Memory Volatility Using High-Frequency Data of Asian Stock Markets
Duppati, Geeta - 2016
This article analyzed the presence of long memory in volatility in 5 Asian equity indices namely SENSEX, CNIA, NIKKEI …-sample forecast accuracy. The results confirmed the presence of long memory in both the return and volatility series for all the five … markets under study. Among the group, CNIA and STI showed most persistence in both the return and conditional volatility. In …
Persistent link: https://www.econbiz.de/10013003892
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Dimensional Analysis and Market Microstructure Invariance
Kyle, Albert S. - 2016
Persistent link: https://www.econbiz.de/10012985162
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High-frequency trading and stock liquidity : an intraday analysis
Ben Ammar, Imen; Hellara, Slaheddine; Ghadhab, Imen - In: Research in international business and finance 53 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012549814
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A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
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Measuring the jump risk contribution under market microstructure noise : evidence from Chinese stock market
Yu, Chao; Zhao, Xujie - In: Romanian journal of economic forecasting 24 (2021) 1, pp. 32-47
Persistent link: https://www.econbiz.de/10012587109
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Microstructure Invariance in U.S. Stock Market Trades
Kyle, Albert S. - 2016
include the invariance-implied measure of effective price volatility …
Persistent link: https://www.econbiz.de/10013210394
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Anatomy of intraday volatility at the Chilean stock exchange
Inci, Ahmet Can; Ramirez, Andrés; Saraoglu, Hakan - In: Journal of economics and finance : JEF 46 (2022) 1, pp. 68-98
Persistent link: https://www.econbiz.de/10012795663
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Dissecting the idiosyncratic volatility anomaly
Chen, Linda H.; Jiang, George J.; Xu, Danielle D.; Yao, Tong - In: Journal of empirical finance 59 (2020), pp. 193-209
Persistent link: https://www.econbiz.de/10012437973