Similar Search Results - EconBiz

Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment

Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - In: Journal of econometrics 205 (2018) 2, pp. 336-362

Persistent link: https://www.econbiz.de/10012110287

Price discovery and the accuracy of consolidated data feeds in the U.S. equity markets

Tivnan, Brian F.; Slater, David; Thompson, James R.; … - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-17

Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor-the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the Securities Information Processor (SIP), we focus here on...

Persistent link: https://www.econbiz.de/10011961261

Price discovery in the U.S. Treasury cash market : on principal trading firms and dealers

Harkrader, James Collin; Puglia, Michael - 2020

Persistent link: https://www.econbiz.de/10012389832

Microscopic understanding of cross-responses between stocks : a two-component price impact model

Wang, Shanshan; Guhr, Thomas - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-30

Persistent link: https://www.econbiz.de/10011988895

Bootstrapping and simulation tests of long-term patterns in stock market behavior

Goetzmann, William N. - 1990

Persistent link: https://www.econbiz.de/10011454189

Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants

Shahzad, Syed Jawad Hussain; Safwan Mohd Nor; … - In: International review of economics & finance : IREF 47 (2017), pp. 46-61

Persistent link: https://www.econbiz.de/10011740095

Detecting bubbles in the US stock market : a new evidence from the bootstrap cointegration test in ESTAR error correction model

Cagli, Efe Çaglar; Mandacı, Pınar Evrım - In: The empirical economics letters : a monthly … 16 (2017) 9, pp. 941-950

Persistent link: https://www.econbiz.de/10011907050

Managerial decisions and long-term stock price performance

Mitchell, Mark; Stafford, Erik - In: The journal of business : B 73 (2000) 3, pp. 287-329

Persistent link: https://www.econbiz.de/10001501936

Replicating patterns in autocorrelated financial time series

Gorener, Rifat; Demirel, Omer; Norsworthy, John Randolph - In: Bank and financial market efficiency : global perspectives, (pp. 235-250). 2004

Persistent link: https://www.econbiz.de/10002264335

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang (contributor) - 2001

Persistent link: https://www.econbiz.de/10001595495

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