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ArticleRealized volatility and transactions

Choon Chat Chan2005

Article2005

Realized volatility and transactions

Choon Chat Chan · Wai Mun Fong

85 citations·0/0 files stored·Journal of Banking & Finance

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

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References

1985Continuous Auctions and Insider Trading 2007Brownian Motion and Stochastic Calculus 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1987Expected stock returns and volatility 2003Modeling and Forecasting Realized Volatility 1987The Pricing of Options on Assets with Stochastic Volatilities 1989Why Does Stock Market Volatility Change Over Time?1991Inferring Trade Direction from Intraday Data

Cited by

2007Realized Volatility and Correlation in Energy Futures Markets 2012On the volatility–volume relationship in energy futures markets using intraday data 2020Economic indicators and stock market volatility in an emerging economy 2011What drives the volume–volatility relationship on Euronext Paris?2012Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach 2011The impact of liquidity on option prices

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Year2005

Typearticle

Published2005-10-15

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations85

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jbankfin.2005.05.021

openalex_workW2070183754

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2020An empirical study on the role of trading volume and data frequency in volatility forecasting

2022Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect