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Modeling and forecasting return jumps using realized variation measures
Liu, Yi
;
Liu, Huifang
;
Zhang, Lei
- In:
Economic modelling
76
(
2019
),
pp. 63-80
Persistent link: https://www.econbiz.de/10012198262
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Determining the information share of liquidity and order flows in extreme price movements
Wu, Liang
;
Liu, Hengzhi
;
Liu, Chang
;
Long, Yunshen
- In:
Economic modelling
93
(
2020
),
pp. 559-575
Persistent link: https://www.econbiz.de/10012430242
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