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Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects

Grammig, Joachim; Melvin, Michael; Schlag, Christian - In: Journal of Empirical Finance 12 (2005) 1, pp. 139-164

Persistent link: https://www.econbiz.de/10005152382

Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?

Covrig, Vicentiu; Melvin, Michael - In: Journal of Empirical Finance 9 (2002) 3, pp. 271-285

Persistent link: https://www.econbiz.de/10005152450

Excess demand and price formation during a Walrasian auction

Eaves, James; Melvin, Michael; Mohapatra, Sandeep - In: Journal of Empirical Finance 15 (2008) 3, pp. 533-548

We conduct a detailed analysis of the relationship between excess demand and the convergence of price to equilibrium during a real-world Walrasian auction, paying special attention to the size and speed of the price adjustment. Using data from the Tokyo Grain Exchange (TGE), we first show that...

Persistent link: https://www.econbiz.de/10005199027

Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon

Andersen, Torben G.; Bollerslev, Tim; Lange, Steve - In: Journal of Empirical Finance 6 (1999) 5, pp. 457-477

Persistent link: https://www.econbiz.de/10005186022

Measuring and modeling systematic risk in factor pricing models using high-frequency data

Bollerslev, Tim; Zhang, Benjamin Y. B. - In: Journal of Empirical Finance 10 (2003) 5, pp. 533-558

Persistent link: https://www.econbiz.de/10005194313

Intraday periodicity and volatility persistence in financial markets

Andersen, Torben G.; Bollerslev, Tim - In: Journal of Empirical Finance 4 (1997) 2-3, pp. 115-158

Persistent link: https://www.econbiz.de/10005194339