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Vogt, Michael - 2011

Persistent link: https://www.econbiz.de/10009377568

The effect of fragmentation in trading on market quality in the UK equity market

Körber, Lena; Linton, Oliver; Vogt, Michael - 2013

We investigate the effects of fragmentation in equity trading on the quality of the trading outcomes, specifically volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the period 2008-2011, which provides a lot of cross-sectional...

Persistent link: https://www.econbiz.de/10009784711

Additive modeling of realized variance : tests for parametric specifications and structural breaks

Fengler, Matthias; Mammen, Enno; Vogt, Michael - 2013

Persistent link: https://www.econbiz.de/10010244914

Specification and structural break tests for additive models with applications to realized variance data

Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218

Persistent link: https://www.econbiz.de/10011500308

The effect of fragmentation in trading on market quality in the UK equity market

Boneva, Lena; Linton, Oliver; Vogt, Michael - In: Journal of applied econometrics 31 (2016) 1, pp. 192-213

Persistent link: https://www.econbiz.de/10011642141

The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market

Koerber, Lena - 2013

We investigate the effects of fragmentation of equity trading on the quality of the trading outcomes specifically, volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the period 2008-2011, which provides a lot of cross-sectional...

Persistent link: https://www.econbiz.de/10013077207

Locally stationary multiplicative volatility modeling

Walsh, Christopher; Vogt, Michael - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 497-508

Persistent link: https://www.econbiz.de/10014448258