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Modelling realized variance when returns are serially correlated
Oomen, Roel C. A., (2004)
Market Order Flows, Limit Order Flows and Returns : Theory and Evidence
Kozhan, Roman, (2019)
The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
Hautsch, Nikolaus, (2012)
Major world equity markets: current structure and prospects for change
Huang, Roger D., (1991)
The components of the bid-ask spread : a general approach
Huang, Roger D., (1997)
Competitive trading of NYSE listed stocks : measurement and interpretation of trading costs
Huang, Roger D., (1996)