How tick size affects the high frequency scaling of stock return distributions
Gianbiagio Curato and Fabrizio Lillo
| Year of publication: |
2015
|
|---|---|
| Authors: | Curato, Gianbiagio ; Lillo, Fabrizio |
| Published in: |
Financial econometrics and empirical market microstructure. - Cham [u.a.] : Springer, ISBN 978-3-319-09945-3. - 2015, p. 55-76
|
| Subject: | Bid-ask spread | Markov-switching models | Returns clustering | Returns distribution | Scaling | Tick size | Kapitaleinkommen | Capital income | Geld-Brief-Spanne | Statistische Verteilung | Statistical distribution | Markov-Kette | Markov chain | Zweitlisting | Dual listing | Betriebsgröße | Firm size |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011326716