Similar Search Results - EconBiz

Which power variation predicts volatility well?

Ghysels, Eric; Sohn, Bumjean - In: Journal of empirical finance 16 (2009) 4, pp. 686-700

We estimate MIDAS regressions with various (bi)power variations to predict future volatility measured via increments in quadratic variation. Instead of pre-determining the (bi)power variation we parameterize it and estimate the intra-daily return power transformation that optimally predicts...

Persistent link: https://www.econbiz.de/10003900365

The magnet effect of price limits : a logit approach

Hsieh, Ping-hung; Kim, Yong H.; Yang, J. Jimmy - In: Journal of empirical finance 16 (2009) 5, pp. 830-837

Persistent link: https://www.econbiz.de/10003900412

Default estimation for low-default portfolios

Kiefer, Nicholas M. - In: Journal of empirical finance 16 (2009) 1, pp. 164-173

Persistent link: https://www.econbiz.de/10003800569

Speculative attacks to currency target zones : a market microstructure approach

Carrera, José M. - In: Journal of empirical finance 6 (1999) 5, pp. 555-582

Persistent link: https://www.econbiz.de/10001505800

Testing for asymmetric information and inventory control effects in market maker behaviour on the London Stock Exchange

Snell, Andy - In: Journal of empirical finance 5 (1998) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10001241971

An empirical investigation of trading on asymmetric information and heterogeneous prior beliefs

Brockman, Paul; Chung, Dennis Y. - In: Journal of empirical finance 7 (2000) 5, pp. 417-454

Persistent link: https://www.econbiz.de/10001545280

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

Price discovery in floor and screen trading systems

Theissen, Erik - In: Journal of empirical finance 9 (2002) 4, pp. 455-474

Persistent link: https://www.econbiz.de/10001711976

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

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

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