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Econometric modelling of financial durations

Veredas, David - 2002

Persistent link: https://www.econbiz.de/10001724068

Macroeconomic surprises and short-term behaviour in bond futures

Veredas, David - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 843-866

Persistent link: https://www.econbiz.de/10003233767

Adverse selection costs, trading activity and liquidity in the NYSE : an empirical analysis in a dynamic context

Pascual, Roberto; Escribano, Álvaro; Tapia, Mikel - 2000

Persistent link: https://www.econbiz.de/10001558416

Adverse selection costs, trading activity and price discovery in the NYSE: an empirical analysis

Pascual, Roberto; Escribano, Álvaro; Tapia, Mikel - In: Journal of banking & finance 28 (2004) 1, pp. 107-128

Persistent link: https://www.econbiz.de/10001857276

US cross-listing and domestic high-frequency trading : evidence from Canadian stocks

Dodd, Olga; Frijns, Bart; Indriawan, Ivan; Pascual, Roberto - In: Journal of empirical finance 72 (2023), pp. 301-320

Persistent link: https://www.econbiz.de/10014476858

A comparison of financial duration models via density forecasts

Bauwens, Luc; Giot, Pierre; Grammig, Joachim; Veredas, David - 2000

Persistent link: https://www.econbiz.de/10001555045

Macro surprises and short-term behaviour in bond futures

Durenard, Eugene; Veredas, David - 2002

Persistent link: https://www.econbiz.de/10001696218

A comparison of financial duration models via density forecasts

Bauwens, Luc; Giot, Pierre; Grammig, Joachim; Veredas, David - In: International journal of forecasting 20 (2004) 4, pp. 589-609

Persistent link: https://www.econbiz.de/10002434252

Semiparametric estimation for financial durations

Rodríguez Poo, Juan Manuel; Veredas, David; Pohlmeier, … - In: High frequency financial econometrics : recent …, (pp. 225-251). 2008

Persistent link: https://www.econbiz.de/10003579359

A Monthly Volatility Index for the US Real Economy

Frale, Cecilia - 2009

We estimate the monthly volatility of the US economy from 1959 to 2008 by extending the factor model of Stock and Watson (1991). The volatility of the factor, which we call VOLINX, has three applications.First, it measures the changes in uncertainty in the economy. VOLINX captures the decrease...

Persistent link: https://www.econbiz.de/10012720729