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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

Flexible price limits : the case of Tokyo Stock Exchange

Deb, Saikat Sovan; Kalev, Petko S.; Marisetty, Vijaya B. - In: Journal of international financial markets, … 24 (2013), pp. 66-84

Persistent link: https://www.econbiz.de/10009726472

Volatility swaps and volatility options on discretely sampled realized variance

Lian, Guanghua; Chiarella, Carl; Kalev, Petko S. - In: Journal of economic dynamics & control 47 (2014), pp. 239-262

Persistent link: https://www.econbiz.de/10010485855

The Samuelson hypothesis in futures markets : an analysis using intraday data

Huu Nhan Duong; Kalev, Petko S. - In: Journal of banking & finance 32 (2008) 4, pp. 489-500

Persistent link: https://www.econbiz.de/10003707624

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

Anonymity and the information content of the limit order book

Huu Nhan Duong; Kalev, Petko S. - In: Journal of international financial markets, … 30 (2014), pp. 205-219

Persistent link: https://www.econbiz.de/10011293762

Trading volume, realized volatility and jumps in the Australian stock market

Shahzad, Hassan; Huu Nhan Duong; Kalev, Petko S.; … - In: Journal of international financial markets, … 31 (2014), pp. 414-430

Persistent link: https://www.econbiz.de/10011299302

Pricing currency options with intra-daily implied volatility

Hoque, Ariful; Kalev, Petko S. - In: Australasian accounting business and finance journal : AABF 9 (2014) 1, pp. 43-56

Persistent link: https://www.econbiz.de/10010520230

Price limits and volatility

Deb, Saikat Sovan; Kalev, Petko S.; Marisetty, Vijaya … - In: Pacific-Basin finance journal 45 (2017), pp. 142-156

Persistent link: https://www.econbiz.de/10011800860

Information Content of the Limit Order Book for Crude Oil Futures Price Volatility

Tian, Xiao - 2019

This paper investigates the information content of the limit order book on future volatility in the crude oil futures market. We propose a time-weighted limit order book slope that incorporates the duration of each bid and ask update. When volatility is expected to increase around weekly...

Persistent link: https://www.econbiz.de/10012902993