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European stock market dependencies when price changes are unusually large

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Market integration and extreme co-movements in APEC emerging equity markets

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Economic significance of oil price changes on Russian and Chinese stock markets

Soucek, Michael; Todorova, Neda - In: Applied financial economics 23 (2013) 7/9, pp. 561-571

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The limiting extremal behaviour of speculative returns : an analysis of intra-daily data from the Frankfurt Stock Exchange

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Forecasting volatility in the New Zealand stock market

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Extreme returns in emerging stock markets : evidence of a MAX effect in South Korea

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The US zero-coupon yield spread as a predictor of excess daily stock market volatility

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Behaviour of stock markets' memories

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Order imbalance, market returns and volatility : evidence from Thailand during the Asian crisis

Visaltanachoti, Nuttawat; Luo, Hang - In: Applied financial economics 19 (2009) 16/18, pp. 1391-1399

This article examines the interaction between order imbalance, stock returns, volatility and volume dynamics during … in current excess sell orders, but are insensitive to the current excess buy orders. In addition to the positive volume-volatility … relation, the influence of order imbalance to volatility is much weaker after controlling for the level of stock returns. …

Persistent link: https://www.econbiz.de/10003886203