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Modeling market microstructure time series

Hasbrouck, Joel - 1996

Persistent link: https://www.econbiz.de/10001320233

Trading fast and slow : security market events in real time

Hasbrouck, Joel - 1999

Persistent link: https://www.econbiz.de/10001378819

The summary informativeness of stock trades : an econometric analysis

Hasbrouck, Joel - In: The review of financial studies 4 (1991) 3, pp. 571-595

Persistent link: https://www.econbiz.de/10001329862

Measuring the information content of stock trades

Hasbrouck, Joel - In: The journal of finance : the journal of the American … 46 (1991) 1, pp. 179-207

Persistent link: https://www.econbiz.de/10001106450

Estimating linear models of expectations and uncertainty

Hasbrouck, Joel - In: Essays in financial economics in memory of Irwin Friend, (pp. 99-112). 1988

Persistent link: https://www.econbiz.de/10001273321

Stalking the "efficient price" in market microstructure specifications : an overview

Hasbrouck, Joel - In: Journal of financial markets 5 (2002) 3, pp. 329-339

Persistent link: https://www.econbiz.de/10001706053

Empirical market microstructure : the institutions, economics and econometrics of securities trading

Hasbrouck, Joel - 2007

Persistent link: https://www.econbiz.de/10003274162

Empirical market microstructure : the institutions, economics and econometrics of securities trading

Hasbrouck, Joel - 2007

1. Introduction. 2. Trading Mechanisms. 3. The Roll Model of Trade Prices. 4. Univariate Time-Series Analysis. 5. Sequential Trade Models. 6. Order Flow And The Probability of Informed Trading. 7. Strategic Trade Models. 8. A Generalized Roll Model. 9. Multivariate Linear Microstructure Models....

Persistent link: https://www.econbiz.de/10012674057

Determinants of capital structure

Friend, Irwin - In: Research in finance 7 (1988), pp. 1-19

Persistent link: https://www.econbiz.de/10001082936

Common factors in prices, order flows, and liquidity

Hasbrouck, Joel; Seppi, Duane J. - In: Journal of financial economics 59 (2001) 3, pp. 383-411

Persistent link: https://www.econbiz.de/10001545069