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The Econometrics of Ultra-High Frequency Data
16 references·9 citing·39 second hop
The Econometrics of Ultra-High Frequency Data (1996)The Econometrics of Ultra-High Frequency …Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Stock Prices and Volume (1992)Stock Prices and VolumeQuasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Statistical study of foreign …Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…Trades, quotes, inventories, and information (1988)Trades, quotes, inventories, …A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets (2006)Relation between Bid-Ask Spre…Intraday Value at Risk (Ivar) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange (2005)Intraday Value at Risk (Ivar)…Forecasting Volatility Using Tick by Tick Data (2005)Forecasting Volatility Using …Presidential Elections and the Stock Market: Comparing Markov-Switching and Fractionally Integrated GARCH Models of Volatility (2004)Presidential Elections and th…Order Submission: The Choice between Limit and Market Orders (2004)Order Submission: The Choice …Volatility estimation on the basis of price intensities (2002)Volatility estimation on the …Impacts of Trades in an Error-Correction Model of Quote Prices (2001)Impacts of Trades in an Error…The Market Microstructure of Central Bank Intervention (1999)The Market Microstructure of …Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model (1998)Econometric Analysis of Discr…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Continuous Auctions and Insider Trading (1985)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Trading Volume and Serial Correlation in Stock Returns (1993)Forecasting Volatility in Financial Markets: A Review (2003)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information Effects on the Bid-Ask Spread (1983)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)
this work references cited by second hop

References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1988Trades, quotes, inventories, and information

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489 cited
  • 1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis482 cited
  • Cited by

    • 2004Presidential Elections and the Stock Market: Comparing Markov-Switching and Fractionally Integrated GARCH Models of Volatility64 cited
    • 1998Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model60 cited
    • 1999The Market Microstructure of Central Bank Intervention54 cited
    • 2002Volatility estimation on the basis of price intensities50 cited
    • 2001Impacts of Trades in an Error-Correction Model of Quote Prices34 cited
    • 2006Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets31 cited
    • 2004Order Submission: The Choice between Limit and Market Orders21 cited
    • 2005Intraday Value at Risk (Ivar) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange21 cited
    • 2005Forecasting Volatility Using Tick by Tick Data20 cited