References

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• 1995Multivariate Simultaneous Generalized ARCH4,510 cited
• 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
• 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
• 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
• 2003Price Discovery and Trading After Hours407 cited
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• 2008Informed trading in the index option market: The case of KOSPI 200 options174 cited
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• 2011Intraday price formation and bid-ask spread components: A new approach using a cross-market model90 cited
• 2006Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets