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Journal of empirical finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of financial markets
88
Journal of banking & finance
72
Journal of financial economics
59
Journal of econometrics
52
Pacific-Basin finance journal
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28
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ECONIS (ZBW)
54
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1
The contribution of jump signs and activity to forecasting stock price volatility
Bu, Ruijun
;
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Murphy, …
- In:
Journal of empirical finance
70
(
2023
),
pp. 144-164
Persistent link: https://www.econbiz.de/10014423623
Saved in:
2
Asymmetric effects of the limit order book on price dynamics
Cenesizoglu, Tolga
;
Dionne, Georges
;
Zhou, Xiaozhou
- In:
Journal of empirical finance
65
(
2022
),
pp. 77-98
Persistent link: https://www.econbiz.de/10013286401
Saved in:
3
In search of retail investors : the effect of retail investor attention on odd lot trades
Kupfer, Alexander
;
Schmidt, Markus G.
- In:
Journal of empirical finance
62
(
2021
),
pp. 315-326
Persistent link: https://www.econbiz.de/10012693439
Saved in:
4
Information shares in a two-tier FX market
Piccotti, Louis R.
;
Shraiber, Bentsi
- In:
Journal of empirical finance
58
(
2020
),
pp. 19-35
Persistent link: https://www.econbiz.de/10012430449
Saved in:
5
Dissecting the idiosyncratic volatility anomaly
Chen, Linda H.
;
Jiang, George J.
;
Xu, Danielle D.
;
Yao, Tong
- In:
Journal of empirical finance
59
(
2020
),
pp. 193-209
Persistent link: https://www.econbiz.de/10012437973
Saved in:
6
Relative spread and price discovery
Aldrich, Eric M.
;
Lee, Seung
- In:
Journal of empirical finance
48
(
2018
),
pp. 81-98
Persistent link: https://www.econbiz.de/10012109271
Saved in:
7
Trading places : price leadership and the competition for order flow
Ibikunle, Gbenga
- In:
Journal of empirical finance
49
(
2018
),
pp. 178-200
Persistent link: https://www.econbiz.de/10012117739
Saved in:
8
Informed trading in S&P index options? : evidence from the 2008 financial crisis
Li, Wei-Xuan
;
French, Joseph J.
;
Chen, Clara Chia-Sheng
- In:
Journal of empirical finance
42
(
2017
),
pp. 40-65
Persistent link: https://www.econbiz.de/10011808543
Saved in:
9
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
10
Macroeconomic news announcements and price discovery : evidence from Canadian-U.S. cross-listed firms
Frijns, Bart
;
Indriawan, Ivan
;
Tourani Rad, Alireza
- In:
Journal of empirical finance
32
(
2015
),
pp. 35-48
Persistent link: https://www.econbiz.de/10011556775
Saved in:
11
Information shares of two parallel currency options markets : trading costs versus transparency/tradability
Piccotti, Louis R.
;
Shraiber, Bentsi
- In:
Journal of empirical finance
32
(
2015
),
pp. 210-229
Persistent link: https://www.econbiz.de/10011556820
Saved in:
12
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
13
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
Saved in:
14
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
15
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
16
The impact of ECB macro-announcements on bid-ask spreads of European blue chips
Rühl, Tobias R.
;
Stein, Michael
- In:
Journal of empirical finance
31
(
2015
),
pp. 54-71
Persistent link: https://www.econbiz.de/10011489337
Saved in:
17
Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Meddahi, Nour
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
4
,
pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
Saved in:
18
An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange
Yamamoto, Ryuichi
- In:
Journal of empirical finance
29
(
2014
),
pp. 369-383
Persistent link: https://www.econbiz.de/10011300454
Saved in:
19
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
Saved in:
20
International cross-listing and price discovery under trading concentration in the domestic market: Evidence from Japanese shares
Otsubo, Yoichi
- In:
Journal of empirical finance
25
(
2014
),
pp. 36-51
Persistent link: https://www.econbiz.de/10010462089
Saved in:
21
Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models
Dahlhaus, Rainer
;
Neddermeyer, Jan Christoph
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 174-212
Persistent link: https://www.econbiz.de/10010233600
Saved in:
22
The price impact of order book events
Cont, Rama
;
Kukanov, Arseniy
;
Stoikov, Sasha
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 47-88
Persistent link: https://www.econbiz.de/10010233613
Saved in:
23
Autocorrelation and partial price adjustment
Anderson, Robert M.
;
Eom, Kyong Shik
;
Hahn, Sang Buhm
; …
- In:
Journal of empirical finance
24
(
2013
),
pp. 78-93
Persistent link: https://www.econbiz.de/10010371989
Saved in:
24
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
Saved in:
25
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
26
Equity order flow and exchange rate dynamics
Ferreira Filipe, Sara
- In:
Journal of empirical finance
19
(
2012
)
3
,
pp. 359-381
Persistent link: https://www.econbiz.de/10009615677
Saved in:
27
On the intraday periodicity duration adjustment of high-frequency data
Wu, Zhengxiao
- In:
Journal of empirical finance
19
(
2012
)
2
,
pp. 282-291
Persistent link: https://www.econbiz.de/10009615704
Saved in:
28
The characteristics of informed trading : implications for asset pricing
Aslan, Hadiye
;
Easley, David
;
Hvidkjær, Søren
; …
- In:
Journal of empirical finance
18
(
2011
)
5
,
pp. 782-801
Persistent link: https://www.econbiz.de/10009492072
Saved in:
29
Estimating covariance via Fourier method in the presence of asynchronous trading and microstructure noise
Mancino, Maria Elvira
;
Sanfelici, Simona
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
2
,
pp. 367-408
Persistent link: https://www.econbiz.de/10009125733
Saved in:
30
Price discovery in fragmented markets
Jong, Frank de
;
Schotman, Peter C.
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10003997323
Saved in:
31
Does the open limit order book matter in explaining informational volatility?
Pascual, Roberto
;
Veredas, David
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
1
,
pp. 57-87
Persistent link: https://www.econbiz.de/10003997330
Saved in:
32
Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
Chaboud, Alain P.
;
Chiquoine, Benjamin
;
Hjalmarsson, Erik
; …
- In:
Journal of empirical finance
17
(
2010
)
2
,
pp. 212-240
Persistent link: https://www.econbiz.de/10009271853
Saved in:
33
Estimation and testing for dependence in market microstructure noise
Ubukata, Masato
;
Oya, Kosuke
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
2
,
pp. 106-151
Persistent link: https://www.econbiz.de/10003826489
Saved in:
34
Co-movements of index options and futures quotes
Fahlenbrach, Rüdiger
;
Sandås, Patrik
- In:
Journal of empirical finance
16
(
2009
)
1
,
pp. 151-163
Persistent link: https://www.econbiz.de/10003800565
Saved in:
35
Using high-frequency transaction data to estimate the probability of informed trading
Tay, Anthony S. A.
;
Ting, Christopher
;
Tse, Yiu Kuen
; …
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
3
,
pp. 288-311
Persistent link: https://www.econbiz.de/10003884192
Saved in:
36
A comparison of trading and non-trading mechanisms for price discovery
Barclay, Michael J.
;
Hendershott, Terrence
- In:
Journal of empirical finance
15
(
2008
)
5
,
pp. 839-849
Persistent link: https://www.econbiz.de/10003776361
Saved in:
37
A functional approach to the price impact of stock trades and the implied true price
Huang, Roger D.
;
Ting, Christopher
- In:
Journal of empirical finance
15
(
2008
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10003692958
Saved in:
38
Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s
Benston, George J.
;
Wood, Robert A.
- In:
Journal of empirical finance
15
(
2008
)
1
,
pp. 17-40
Persistent link: https://www.econbiz.de/10003692963
Saved in:
39
Noise trading and the price formation process
Berkman, Henk
;
Koch, Paul Douglas
- In:
Journal of empirical finance
15
(
2008
)
2
,
pp. 232-250
Persistent link: https://www.econbiz.de/10003699131
Saved in:
40
Finite sample accuracy and choice of sampling frequency in integrated volatility extimation
Nielsen, Morten Ørregaard
;
Frederiksen, Per
- In:
Journal of empirical finance
15
(
2008
)
2
,
pp. 265-286
Persistent link: https://www.econbiz.de/10003699137
Saved in:
41
Determinants of bid and ask quotes and implications for the cost of trading
Zhang, Michael Yuanjie
;
Russell, Jeffrey R.
;
Tsay, Ruey S.
- In:
Journal of empirical finance
15
(
2008
)
4
,
pp. 656-678
Persistent link: https://www.econbiz.de/10003759740
Saved in:
42
Multivariate autoregressive modeling of time series count data using copulas
Heinen, Andréas
;
Rengifo, Erick W.
- In:
Journal of empirical finance
14
(
2007
)
4
,
pp. 564-583
Persistent link: https://www.econbiz.de/10003609942
Saved in:
43
Integrated covariance estimation using high-frequency data in the presence of noise
Voev, Valeri
;
Lunde, Asger
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
1
,
pp. 68-104
Persistent link: https://www.econbiz.de/10003518286
Saved in:
44
Special issue on the analysis of high-frequency financial data and market microstructure
2005
Persistent link: https://www.econbiz.de/10003151162
Saved in:
45
An empirical analysis of the role of the trading intensity in information dissemination on the NYSE
Spierdijk, Laura
- In:
Journal of empirical finance
11
(
2004
)
2
,
pp. 163-184
Persistent link: https://www.econbiz.de/10001880919
Saved in:
46
Analysis of intraday herding behavior among the sector ETFs
Gleason, Kimberly
;
Mathur, Iqbal
;
Peterson, Mark A.
- In:
Journal of empirical finance
11
(
2004
)
5
,
pp. 681-694
Persistent link: https://www.econbiz.de/10002260868
Saved in:
47
The price adjustment and lead-lag relations between stock returns : microstructure evidence from the Taiwan stock market
Chiao, Chaoshin
;
Hung, Ken
;
Lee, Cheng F.
- In:
Journal of empirical finance
11
(
2004
)
5
,
pp. 709-731
Persistent link: https://www.econbiz.de/10002260905
Saved in:
48
Emerging markets and trading costs : lessons from Casablanca
Ghysels, Eric
;
Cherkaoui, Mouna
- In:
Journal of empirical finance
10
(
2003
)
1/2
,
pp. 169-198
Persistent link: https://www.econbiz.de/10001752085
Saved in:
49
Trades and quotes : a bivariate point process
Engle, Robert F.
;
Lunde, Asger
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
2
,
pp. 159-188
Persistent link: https://www.econbiz.de/10002214089
Saved in:
50
Assessing the risk of liquidity suppliers on the basis of excess demand intensities
Hautsch, Nikolaus
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
2
,
pp. 189-215
Persistent link: https://www.econbiz.de/10002214097
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