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The information content of the term structure of interest

Kalev, Petko S.; Inder, Brett A. - 1999

Persistent link: https://www.econbiz.de/10001460801

Public information arrival and volatility of intraday stock returns

Kalev, Petko S.; Liu, Wai-man; Pham, Peter Kien; … - In: Journal of banking & finance 28 (2004) 6, pp. 1441-1467

Persistent link: https://www.econbiz.de/10002049619

Can time difference deter arbitrage opportunities?

Bogomolov, Timofei; Liu, Lixian; Kalev, Petko S. - In: The journal of asset management 14 (2013) 2, pp. 79-94

Persistent link: https://www.econbiz.de/10009765828

The information content of the term structure of interest rates

Kalev, Petko S.; Inder, Brett A. - In: Applied economics 38 (2006) 1, pp. 33-45

Persistent link: https://www.econbiz.de/10003292261

Fractals in trade duration : capturing long-range dependence and heavy tailedness in modeling trade duration

Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J.; … - In: Annals of finance 4 (2008) 2, pp. 217-241

Persistent link: https://www.econbiz.de/10003644932

A test of the Samuelson hypothesis using realized range

Kalev, Petko S.; Huu Nhan Duong - In: The journal of futures markets 28 (2008) 7, pp. 680-696

Persistent link: https://www.econbiz.de/10003715120

The Evolution of Price Discovery in US Equity and Derivatives Markets

Wallace, Damien G. - 2014

This paper investigates changes in the price discovery portions for two popular securities based on the S&P 500 index, namely the S&P 500 E-mini futures and the SPDR Exchange Traded Fund (Ticker SPY) for the period Jan 2002 through Dec 2013. We show a significant change in the price discovery of...

Persistent link: https://www.econbiz.de/10013048730