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22 Modeling market microstructure time series · Study

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Chapter22 Modeling market microstructure time series

Joel Hasbrouck1996

OA

Chaptergreen1996

22 Modeling market microstructure time series

107 citations·0/0 files stored·Handbook of statistics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1985Continuous Auctions and Insider Trading 1965The Behavior of Stock-Market Prices 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1986Asset pricing and the bid-ask spread 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

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2013The Estimation of Leverage Effect With High-Frequency Data 2000Some Reflections on Analysis of High-Frequency Data 2003Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models 2007Are volatility estimators robust with respect to modeling assumptions?2001Financial econometrics: Past developments and future challenges 2002

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1999Symposium on Market Microstructure: A Review of Empirical Researcharticle · 34 shared references 2003Market Microstructurechapter · 33 shared references 2003Chapter 17 Microstructure and asset pricingchapter · 30 shared references 2002The components of the bid–ask spread in a limit-order market: evidence from the Tokyo Stock Exchangearticle · 29 shared references 1997High frequency data in financial markets: Issues and applicationsarticle · 26 shared references 2014The timeline of trading frictions in the European carbon marketarticle · 23 shared references

Details

Year1996

Typechapter

Published1996-01-01

VenueHandbook of statistics

ISSN-L0169-7161

Languageen

Citations107

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0169-7161(96)14024-4

openalex_workW1514617270

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Parametric and Nonparametric Volatility Measurement

1999Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation

2003A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering