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1
A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market
Li, Zhicheng
;
Chen, Xinyun
;
Xing, Haipeng
- In:
Economic modelling
118
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014229238
Saved in:
2
An analytical measure of market underreaction to earnings news
Chung, Kee H.
;
Kim, Oliver
;
Lim, Steve C.
;
Yang, Sean
- In:
International review of economics & finance : IREF
64
(
2019
),
pp. 612-624
Persistent link: https://www.econbiz.de/10012372874
Saved in:
3
Measuring and modeling risk using high-frequency data
Härdle, Wolfgang
;
Hautsch, Nikolaus
;
Pigorsch, U.
- In:
Applied quantitative finance
,
(pp. 279-294)
.
2017
Persistent link: https://www.econbiz.de/10011794967
Saved in:
4
The impact of iceberg orders in limit order books
Frey, Stefan
;
Sandås, Patrik
- In:
The quarterly journal of finance
7
(
2017
)
3
,
pp. 1-43
Persistent link: https://www.econbiz.de/10011774142
Saved in:
5
Market microstructure invariance : empirical hypotheses
Kyle, Albert S.
;
Obižaeva, Anna
- In:
Econometrica : journal of the Econometric Society, an …
84
(
2016
)
4
,
pp. 1345-1404
Persistent link: https://www.econbiz.de/10011611092
Saved in:
6
The dampening effect of iceberg orders on small traders' welfare
Delaney, Laura
;
Kovaleva, Polina
- In:
Annals of finance
13
(
2017
)
4
,
pp. 453-484
Persistent link: https://www.econbiz.de/10011945583
Saved in:
7
The effects of trade size and market depth on immediate price impact in a limit order book market
Manh Cuong Pham
;
Anderson, Heather Margot
;
Huu Nhan Duong
; …
- In:
Journal of economic dynamics & control
120
(
2020
),
pp. 1-27
Persistent link: https://www.econbiz.de/10012503902
Saved in:
8
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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9
The drift burst hypothesis
Christensen, Kim
;
Oomen, Roel
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 461-497
Persistent link: https://www.econbiz.de/10013442150
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10
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
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