相关参考文献
注意:仅列出部分参考文献,下载原文获取全部文献信息。How rigged are stock markets? Evidence from microsecond timestamps
Robert P. Bartlett et al.
JOURNAL OF FINANCIAL MARKETS (2019)
Price Discovery without Trading: Evidence from Limit Orders
Jonathan Brogaard et al.
JOURNAL OF FINANCE (2019)
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Tim Bollerslev et al.
JOURNAL OF ECONOMETRICS (2018)
High-Frequency Quoting: Short-Term Volatility in Bids and Offers
Joel Hasbrouck
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2018)
An Empirical Analysis of Market Segmentation on US Equity Markets
Frank Hatheway et al.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2017)
Designated market makers still matter: Evidence from two natural experiments
Adam D. Clark-Joseph et al.
JOURNAL OF FINANCIAL ECONOMICS (2017)
Intraday price discovery in fragmented markets
Sait R. Ozturk et al.
JOURNAL OF FINANCIAL MARKETS (2017)
Dark trading and price discovery
Carole Comerton-Forde et al.
JOURNAL OF FINANCIAL ECONOMICS (2015)
Trading rules, competition for order flow and market fragmentation
Amy Kwan et al.
JOURNAL OF FINANCIAL ECONOMICS (2015)
The relative contribution of ask and bid quotes to price discovery
Roberto Pascual et al.
JOURNAL OF FINANCIAL MARKETS (2014)
How Slow Is the NBBO? A Comparison with Direct Exchange Feeds
Shengwei Ding et al.
FINANCIAL REVIEW (2014)
Telltale Tails: A New Approach to Estimating Unique Market Information Shares
Joachim Grammig et al.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2013)
What do price discovery metrics really measure?
Talis J. Putnins
JOURNAL OF EMPIRICAL FINANCE (2013)
THE HARROD-BALASSA-SAMUELSON HYPOTHESIS: REAL EXCHANGE RATES AND THEIR LONG-RUN EQUILIBRIUM
Yanping Chong et al.
INTERNATIONAL ECONOMIC REVIEW (2012)
Is market fragmentation harming market quality?
Maureen O'Hara et al.
JOURNAL OF FINANCIAL ECONOMICS (2011)
Price Discovery in Fragmented Markets
Frank de Jong et al.
JOURNAL OF FINANCIAL ECONOMETRICS (2010)
A structural analysis of price discovery measures
Bingcheng Yan et al.
JOURNAL OF FINANCIAL MARKETS (2010)
A Simple Approximate Long-Memory Model of Realized Volatility
Fulvio Corsi
JOURNAL OF FINANCIAL ECONOMETRICS (2009)
Why do absolute returns predict volatility so well?
Lars Forsberg et al.
JOURNAL OF FINANCIAL ECONOMETRICS (2007)
Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility
Torben G. Andersen et al.
REVIEW OF ECONOMICS AND STATISTICS (2007)
MIDAS regressions: Further results and new directions
Eric Ghysels et al.
ECONOMETRIC REVIEWS (2007)
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
Massimiliano Marcellino et al.
JOURNAL OF ECONOMETRICS (2006)
Island goes dark: Transparency, fragmentation, and regulation
T Hendershott et al.
REVIEW OF FINANCIAL STUDIES (2005)
Estimation and inference of impulse responses by local projections
O Jordà
AMERICAN ECONOMIC REVIEW (2005)
The make or take decision in an electronic market: Evidence on the evolution of liquidity
R Bloomfield et al.
JOURNAL OF FINANCIAL ECONOMICS (2005)
Intraday price formation in US equity index markets
J Hasbrouck
JOURNAL OF FINANCE (2003)
Price discovery and common factor models
RT Baillie et al.
JOURNAL OF FINANCIAL MARKETS (2002)
Some desiderata for the measurement of price discovery across markets
BN Lehmann
JOURNAL OF FINANCIAL MARKETS (2002)
Common factor components versus information shares: a reply
FHD Harris et al.
JOURNAL OF FINANCIAL MARKETS (2002)
Stalking the efficient price in market microstructure specifications: an overview
J Hasbrouck
JOURNAL OF FINANCIAL MARKETS (2002)
Measures of contributions to price discovery: a comparison
F de Jong
JOURNAL OF FINANCIAL MARKETS (2002)
Time and the price impact of a trade
A Dufour et al.
JOURNAL OF FINANCE (2000)