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Realized stock volatility

Ebens, Heiko (contributor) - 1999 - [Elektronische Ressource]

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Measuring efficiency when market prices are subject to adverse selection

Hughes, Joseph P. - 1997

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Measuring the efficiency of capital allocation in commercial banking

Hughes, Joseph P. (contributor) - 1997

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Modelling, estimation and visualization of multivariate dependence for high-frequency data

Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010

Persistent link: https://www.econbiz.de/10003964488

Self-exciting extreme value models for stock market crashes

Herrera, Rodrigo; Schipp, Bernhard - In: Statistical inference, econometric analysis and matrix …, (pp. 209-231). 2009

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Measuring risks for consumers, firms, and investors in the digital economy

Alves Werb, Gabriela - 2020

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Evaluation of Information Leadership Share as Price Discovery Measure

Shrestha, Keshab; Lee, Lianne Mei Quin - 2021

Traditionally the price discovery is measured by information share (IS) and component share (CS) measures. Recently, Putnins (2013) proposed another measure called information leadership share (ILS) measure based on IS and CS measures. This paper performs an evaluation of ILS and finds some...

Persistent link: https://www.econbiz.de/10013216448

Evaluation of Information Leadership Share as Price Discovery Measure

Shrestha, Keshab; Lee, Lianne Mei Quin - 2023

Traditionally, price discovery is measured by information share (IS) and component share (CS) measures. Recently, Putnins (2013) proposed another measure called information leadership share (ILS) measure based on IS and CS measures. This paper performs an evaluation of ILS and finds some serious...

Persistent link: https://www.econbiz.de/10014256530

Presidential power and stock returns

Kim, Youngsoo; Park, Jung Chul - In: Financial management : FM 51 (2022) 2, pp. 455-499

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Measurement effects and the variance of returns after stock splits and stock dividends

Koski, Jennifer L. - In: The review of financial studies 11 (1998) 1, pp. 143-162

Persistent link: https://www.econbiz.de/10001239330