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Implications of the Discreteness of Observed Stock Prices

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Cited by

1990Estimation of Stock Price Variances and Serial Covariances from Discrete Observations149 cited
2009High frequency market microstructure noise estimates and liquidity measures132 cited
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1991Volatility Increases Subsequent to NYSE and AMEX Stock Splits108 cited
2010A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones104 cited
1998

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CHANGES IN TRADING ACTIVITY FOLLOWING STOCK SPLITS AND THEIR EFFECT ON VOLATILITY AND THE ADVERSE‐INFORMATION COMPONENT OF THE BID‐ASK SPREAD

102 cited

1988Estimating the Volatility of Discrete Stock Prices94 cited

1998Extreme price clustering in the London equity index futures and options markets87 cited

1988Estimation Bias Induced by Discrete Security Prices87 cited

1998Measurement Effects and the Variance of Returns After Stock Splits and Stock Dividends85 cited

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