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The day of the week effecton returns, volatility and volume of Shariah index

Munusany, Dharani - In: The empirical economics letters : a monthly … 15 (2016) 6, pp. 608-618

Persistent link: https://www.econbiz.de/10011655904

Insider trading, stochastic liquidity, and equilibrium prices

Collin-Dufresne, Pierre; Fos, Vyacheslav - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1441-1475

Persistent link: https://www.econbiz.de/10011611102

When noise trading fades, volatility rises

Li, Jinliang - In: Review of quantitative finance and accounting 47 (2016) 3, pp. 475-512

Persistent link: https://www.econbiz.de/10011595653

The curious case of changes in trading dynamics : when firms switch from NYSE to NASDAQ

Dang, Viet Anh; Michayluk, David; Pham, Thu Phuong - In: Journal of financial markets 41 (2018), pp. 17-35

Persistent link: https://www.econbiz.de/10012001766

Forecasting intraday volume : comparison of two early models

Szűcs, Balázs Árpád - In: Finance research letters 21 (2017), pp. 249-258

Persistent link: https://www.econbiz.de/10011807797

Long- and short-term cryptocurrency volatility components : a GARCH-MIDAS analysis

Conrad, Christian; Custovic, Anessa; Ghysels, Eric - In: Journal of risk and financial management : JRFM 11 (2018) 2

We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As … potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure … of global economic activity. We find that S&P 500 realized volatility has a negative and highly significant effect on …

Persistent link: https://www.econbiz.de/10011856965

Can volume predict Bitcoin returns and volatility? : a quantiles-based approach

Balcilar, Mehmet; Bouri, Elie; Gupta, Rangan; Roubaud, David - In: Economic modelling 64 (2017), pp. 74-81

Persistent link: https://www.econbiz.de/10011756479

Informativeness of trade size in foreign exchange markets

Gradojevic, Nikola; Erdemlioglu, Deniz; Gençay, Ramazan - In: Economics letters 150 (2017), pp. 27-33

Persistent link: https://www.econbiz.de/10011762076

Volatility-volume causality across single stock spot-futures markets in India

Jain, Anshul; Biswal, Pratap Chandra; Ghosh, Sajal - In: Applied economics 48 (2016) 34/36, pp. 3228-3243

Persistent link: https://www.econbiz.de/10011617173

Testing the informativeness of non-price variables with MIDAS touch

Kotyan, Avinash; Mallikarjunappa, T. - In: IIMB management review 32 (2020) 2, pp. 189-207

Persistent link: https://www.econbiz.de/10012489685