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A Hawkes process analysis of high-frequency price endogeneity and market efficiency
Zhuo, Jingbin; Chen, Yufan; Zhou, Bang; Lang, Baiming; … - In: The European journal of finance 30 (2024) 9, pp. 949-979
Persistent link: https://www.econbiz.de/10014548011
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Nonlinear dynamics of Kimchi premium
Seo, Myung Hwan; Koo, Bonsoo; Yang, Yangzhuoran Fin - In: Economic modelling 135 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014549082
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Price and income elasticities of industrial electricity demand in Brazil : estimates and implications of COVID-19
Martins, Luís Oscar; Amorim, Inara Rosa de; Araújo … - In: International journal of energy sector management 18 (2024) 4, pp. 707-724
Persistent link: https://www.econbiz.de/10014550414
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No safe haven, only diversification and contagion : intraday evidence around the COVID-19 pandemic
Bei, Zeyun; Lin, Juan; Zhou, Yinggang - In: Journal of international money and finance 143 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10014551362
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The volatility of capital flows in emerging markets : measures and determinants
Pagliari, Maria Sole; Ahmed Hannan, Swarnali - In: Journal of international money and finance 145 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014551409
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Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects
Yang, Lixiong; Chen, I-Po; Lee, Chingnun; Ren, Mingjian - In: Econometric reviews 43 (2024) 7, pp. 452-489
Persistent link: https://www.econbiz.de/10014551815
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Do price trajectory data increase the efficiency of market impact estimation?
Li, Fengpei; Ihnatiuk, Vitalii; Chen, Yu; Lin, Jiahe; … - In: Quantitative finance 24 (2024) 5, pp. 545-568
Persistent link: https://www.econbiz.de/10014552104
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Measuring investors’ risk aversion in China’s stock market
Bian, Timothy Yang; Wang, Tianyi; Zhou, Zipeng - In: Finance research letters 42 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10014580420
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The accuracy of trade classification systems on the foreign exchange market : evidence from the RUB USD market
Frömmel, Michael; D'Hoore, Dick; Lampaert, Kevin - In: Finance research letters 42 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10014580438
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Curve momentum in currency markets
Lei, Jian - In: Finance research letters 42 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10014580451