A compound duration model for high-frequency asset returns
Eric M. Aldrich, Indra Heckenbach, Gregory Laughlin
| Year of publication: |
December 2016
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|---|---|
| Authors: | Aldrich, Eric M. ; Heckenbach, Indra ; Laughlin, Gregory |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 39.2016, Part A, p. 105-128
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| Subject: | High-frequency trading | US equities | News arrival | Elektronisches Handelssystem | Electronic trading | Kapitaleinkommen | Capital income | USA | United States | Börsenkurs | Share price | Ankündigungseffekt | Announcement effect | Schätzung | Estimation | Theorie | Theory | Portfolio-Management | Portfolio selection | Aktie | Share |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2016.10.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011663312