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Liquidity biases and the pricing of cross-sectional idiosyncratic volatility

Han, Yufeng; Lesmond, David - In: The review of financial studies 24 (2011) 5, pp. 1590-1629

Persistent link: https://www.econbiz.de/10009011373

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an … indirect test of the hypothesis that volatility is caused by private information that affects prices when informed investors … trade. The result that volatility shocks significantly increase expected inter-transaction durations supports this …

Persistent link: https://www.econbiz.de/10009579173

Volatility and covariation estimation when microstructure noise and trading times are endogenous

Robert, Christian Yann; Rosenbaum, Mathieu - In: Mathematical finance : an international journal of … 22 (2012) 1, pp. 133-164

Persistent link: https://www.econbiz.de/10009554688

The relation between relative order imbalance and intraday futures returns : an application of the quantile regression model of Taiwan

Chang, Chiao-yi; Shie, Fu-shuen - In: Emerging markets finance & trade : a journal of the … 47 (2011) 3, pp. 69-87

Persistent link: https://www.econbiz.de/10009313728

Fact or friction : jumps at ultra high frequency

Christensen, Kimberly; Oomen, Roel C. A.; Podolskij, Mark - In: Journal of financial economics 114 (2014) 3, pp. 576-599

Persistent link: https://www.econbiz.de/10010532687

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

Order flow and volatility : an empirical investigation

Opschoor, Anne; Taylor, Nicholas; Wel, Michel van der; … - In: Journal of empirical finance 28 (2014), pp. 185-201

Persistent link: https://www.econbiz.de/10011285068

Multifractal models, intertrade durations and return volatility

Segnon, Mawuli - 2015

Persistent link: https://www.econbiz.de/10011299266

High-frequency quoting, trading, and the efficiency of prices

Conrad, Jennifer S.; Wahal, Sunil; Xiang, Jin - In: Journal of financial economics 116 (2015) 2, pp. 271-291

Persistent link: https://www.econbiz.de/10011348502

High frequency market microstructure

O'Hara, Maureen - In: Journal of financial economics 116 (2015) 2, pp. 267-270

Persistent link: https://www.econbiz.de/10011348519