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Yet another ACD model : the autoregressive conditional directional duration (ACDD) model

Jeyasreedharan, Nagaratnam; Allen, David E.; Yang, Wenling - In: Annals of financial economics 9 (2014) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10010489145

Fund Volatility Index using equity market state prices

O'Neill, Michael J.; Liu, Zhangxin - In: Accounting and finance : journal of the Accounting … 57 (2017) 3, pp. 837-853

Persistent link: https://www.econbiz.de/10011798964

Transaction duration and asymmetric price impact of trades : evidence from Australia

Yang, Joey Wenling - In: Journal of empirical finance 18 (2011) 1, pp. 91-102

Persistent link: https://www.econbiz.de/10009301172

The structure and degree of dependence : a quantile regression approach

Baur, Dirk G. - In: Journal of banking & finance 37 (2013) 3, pp. 786-798

Persistent link: https://www.econbiz.de/10009708741

A rational theory for disposition effects

Dai, Min; Jiang, Yipeng; Liu, Hong; Xu, Jing - In: Review of economic dynamics 47 (2023), pp. 131-157

Persistent link: https://www.econbiz.de/10013555831

Competition and risk in Japanese banking

Liu, Hong; Wilson, John O. S. - In: The European journal of finance 19 (2013) 1/2, pp. 1-18

Persistent link: https://www.econbiz.de/10009733309

So what orders do informed traders use?

Kaniel, Ron; Liu, Hong - In: The journal of business : B 79 (2006) 4, pp. 1867-1913

Persistent link: https://www.econbiz.de/10003378486

So what orders do informed traders use?

Kaniel, Ron (contributor); Liu, Hong (contributor) - 2006

Persistent link: https://www.econbiz.de/10003771531

Stock Return Autocorrelations Revisited : A Quantile Regression Approach

Baur, Dirk G. - 2012

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

Persistent link: https://www.econbiz.de/10013113215

The persistence and asymmetry of time-varying correlations

Baur, Dirk G. (contributor) - 2005

Persistent link: https://www.econbiz.de/10009232806