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The distribution of index futures realised volatility under seasonality and microstructure noise

Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: Economic modelling 93 (2020), pp. 398-414

Persistent link: https://www.econbiz.de/10012430196

Autoregressive conditional duration models for high frequency financial data : an empirical study on mid cap exchange traded funds

Nunkoo, Houmera Bibi Sabera; Gonpot, Preethee Nunkoo; … - In: Studies in economics and finance 39 (2022) 1, pp. 150-173

Persistent link: https://www.econbiz.de/10012798505

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Intraday price discovery in Indian stock index futures market : new evidence from neural network approach

Kumar, Saurabh; Inani, Sarveshwar Kumar - In: International journal of financial markets and derivatives 6 (2017) 1, pp. 12-29

Persistent link: https://www.econbiz.de/10011862350

Dynamic probability of informed trading and price movements : evidence from the CSI300 index futures market

Yan, Yan; Ouyang, Hongbing - In: Applied economics letters 25 (2018) 14, pp. 998-1003

Persistent link: https://www.econbiz.de/10012131668

Market frictions and seemingly anomalous co-movements of index options and index futures quotes

Fahlenbrach, Rüdiger (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002660336

Multi-market trading and patterns in volume and mispricing : the case of the Nikkei stock index futures markets

Vila, Anne Fremault; Obiyathulla Ismath Bacha - In: Journal of international financial markets, … 6 (1996) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10001498268

Do call prices and the underlying stock always move in the same direction?

Bakshi, Gurdip S.; Cao, Charles Q.; Chen, Zhiwu - In: The review of financial studies 13 (2000) 3, pp. 549-584

Persistent link: https://www.econbiz.de/10001499744

The impact of transaction costs on price discovery : evidence from cross-listed stock index futures contracts

Frino, Alex; West, Andrew - In: Pacific-Basin finance journal 11 (2003) 2, pp. 139-151

Persistent link: https://www.econbiz.de/10001758257

Trade imbalances and inventory effects in long-term S&P 500 index options

Bharadwaj, Anu; Wiggins, James B. - In: The financial review : the official publication of the … 38 (2003) 2, pp. 293-309

Persistent link: https://www.econbiz.de/10001794884

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