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Price discovery in high resolu...
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1
A study of the impact between the macroeconomic variables and the Brazilian stock exchange index through the vector autoregression and the vector error correction
Arruda Filho, Rubens Paes
;
Lima, Fabiano Guasti
; …
- In:
Journal of international business and economics : JIBE
13
(
2013
)
2
,
pp. 109-116
Persistent link: https://www.econbiz.de/10009789548
Saved in:
2
Cointegration
and causality analysis of dynamic linkage between stock market and equity mutual funds in Australia
Sasipa Pojanavatee
- In:
Cogent economics & finance
2
(
2014
)
1
,
pp. 1-17
The existing literature finds conflicting results on the magnitude of price linkages between equity mutual funds and the stock market. The study contends that in an optimal lagged model, the expectations of future prices using knowledge of past price behaviour in a particular equity mutual fund...
Persistent link: https://www.econbiz.de/10010469413
Saved in:
3
The impact of US economic policy uncertainty shock on GCC stock market performance
Alqahtani, Abdullah
;
Taillard, Michael
- In:
Asian journal of law and economics
10
(
2019
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012105345
Saved in:
4
Inter-regional dependence of J-REIT stock prices : a heteroscedasticity-robust time series approach
Motegi, Kaiji
;
Iitsuka, Yoshitaka
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014246819
Saved in:
5
A non-normal framework for price discovery : the Independent Component based Information Shares measure
Zema, Sebastiano Michele
-
2023
I propose a new measure of price discovery, which I will refer to as the Independent Component based Information Share (IC-IS). This measure constitutes a variant of the widespread Information Share, with the main difference being it does not suffer the same identification issues. Under the...
Persistent link: https://www.econbiz.de/10013489765
Saved in:
6
Measuring the information contect of limit order books
Chen, Shi
- In:
Econometric measures of financial risk in high dimensions
,
(pp. 1-36)
.
2017
Persistent link: https://www.econbiz.de/10011913344
Saved in:
7
Algorithmic Trading of Co-Integrated Assets
Cartea, Álvaro
-
2016
given by a
co-integration
factor. We analyze the optimal investment strategy for an agent who maximizes expected utility of … be affine in the
co-integration
factor. We calibrate the model to three assets traded on the Nasdaq exchange (Google …
Persistent link: https://www.econbiz.de/10013004099
Saved in:
8
Algorithmic trading of co-integrated assets
Cartea, Álvaro
;
Jaimungal, Sebastian
- In:
International journal of theoretical and applied finance
19
(
2016
)
6
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011572368
Saved in:
9
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
Guillén, Osmani Teixeira de Carvalho
;
Hecq, Alain W. J.
; …
-
2013
Persistent link: https://www.econbiz.de/10011455896
Saved in:
10
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
Guillén, Osmani Teixeira de Carvalho
;
Hecq, Alain W. J.
; …
-
2014
Persistent link: https://www.econbiz.de/10011456434
Saved in:
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