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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 209 (2019) 2, pp. 289-337

Persistent link: https://www.econbiz.de/10012302598

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234

Persistent link: https://www.econbiz.de/10011642112

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - 2015

Persistent link: https://www.econbiz.de/10011736615

The microstructural foundations of leverage effect and rough volatility

El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu - In: Finance and stochastics 22 (2018) 2, pp. 241-280

Persistent link: https://www.econbiz.de/10011945670

Estimating the price impact of trades in a high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224

Persistent link: https://www.econbiz.de/10011585573

How predictable are equity covariance matrices? : evidence from high-frequency data for four markets

Buckle, Michael J.; Chen, Jing; Williams, Julian - In: Journal of forecasting 33 (2014) 7, pp. 542-557

Persistent link: https://www.econbiz.de/10011282861

Measuring the information content of disclosures : the role of return noise

Thomas, Jacob K.; Zhang, X. Frank; Zhu, Wei - In: The accounting review : a publication of the American … 97 (2022) 6, pp. 417-443

Persistent link: https://www.econbiz.de/10013499362

The relationship between the volatility of returns and the number of jumps in financial markets

Cartea, Álvaro; Karyampas, Dimitrios - In: Econometric reviews 35 (2016) 5/7, pp. 929-950

Persistent link: https://www.econbiz.de/10011590735

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 … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and …

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

Efficient bias robust regression for time series factor models

Martin, R. Douglas; Xia, Daniel Z. - In: The journal of asset management : a major new, … 23 (2022) 3, pp. 215-234

Persistent link: https://www.econbiz.de/10013199106