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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of empirical finance 19 (2012) 4, pp. 610-625
Persistent link: https://www.econbiz.de/10009615658
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The microstructure of fragmented markets : trading in DAX 30 stocks after the introduction of MiFID
Katzschner, Thomas - 2015
Persistent link: https://www.econbiz.de/10011413923
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Some effects of transaction taxes under different microstructures
Pelizzari, Paolo; Westerhoff, Frank H. - 2007
Persistent link: https://www.econbiz.de/10003856780
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Do Indian investors also follow the pied piper? : a case for pre- and post-financial crisis
Rani, Neelam; Asija, Aman - In: International journal of behavioural accounting and … 5 (2015) 3/4, pp. 334-345
Persistent link: https://www.econbiz.de/10011550162
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Correlation of order flow and the probability of informed trading
Henke, Harald - 2004
Persistent link: https://www.econbiz.de/10002464553
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Bid-ask spread, quoted depths, and unexpected duration between trades
Ruan, Jun Tony; Ma, Tongshu - In: Journal of financial services research : JFSR 51 (2017) 3, pp. 385-436
Persistent link: https://www.econbiz.de/10011777286
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Eine Intermarket-Analyse der Komponenten der Geld-Brief-Spanne : am Beispiel des deutschen Aktienmarktes
Wolff, Jürgen - 2003 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001823348
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Berücksichtigung der Informationsunsicherheitsprämie im Capital Asset Pricing Model
Užik, Martin - 2004 - 1. Aufl.
Seit seiner Entwicklung in den sechziger Jahren ist das CAPM das anerkannteste Kapitalmarktmodell in Theorie und Praxis …
Persistent link: https://www.econbiz.de/10013432980
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Liquidity measurement : a comparative review of the literature with a focus on high frequency
Cobandag Guloglu, Zeynep; Ekinci, Cumhur - In: Journal of economic surveys 36 (2022) 1, pp. 41-74
Persistent link: https://www.econbiz.de/10012816561
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009
&P 500 index confirms the simulation results. -- covariance estimation ; blocking ; realized kernel ; regularization …
Persistent link: https://www.econbiz.de/10003893144