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Liquidity and resolution of uncertainty in the European carbon futures market
16 references·3 citing·34 second hop
Liquidity and resolution of uncertainty in the European carbon futures market (2014)Liquidity and resolution of uncertainty i…Price drivers and structural breaks in European carbon prices 2005–2007 (2008)Price drivers and structural …Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…The Use of Knowledge in Society (1996)The Use of Knowledge in Socie…Market Microstructure Theory. (1996)Market Microstructure Theory.Market microstructure theory (1995)Market microstructure theoryTime and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Liquidity and Market Structure (1988)Liquidity and Market StructureContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …The Dynamics of Dealer Markets Under Competition (1983)The Dynamics of Dealer Market…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Dealership market (1980)Dealership marketThe Only Game in Town (1971)The Only Game in TownThe econometrics of ultra-high frequency data /The econometrics of ultra-hig…Environmental pressure and board gender diversity: Evidence from the European Union Emission Trading System (2024)Environmental pressure and bo…The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach (2023)The time-varying effects of l…The market quality of commodity futures markets (2020)The market quality of commodi…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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)5 Stochastic volatility (1996)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)The Behavior of Stock-Market Prices (1965)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)The Cost of Transacting (1968)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)Market microstructure: A survey (2000)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)Comparative Economic Organization: The Analysis of Discrete Structural Alternatives (1991)A Dynamic Theory of Organizational Knowledge Creation (1994)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Noise Trader Risk in Financial Markets (1990)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (2007)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1996The Use of Knowledge in Society6,434 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1995Market microstructure theory1,305 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 1980Dealership market965 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1971The Only Game in Town855 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 cited
  • 2008Price drivers and structural breaks in European carbon prices 2005–2007

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725 cited

Cited by

  • 2024Environmental pressure and board gender diversity: Evidence from the European Union Emission Trading System23 cited
  • 2023The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach21 cited
  • 2020The market quality of commodity futures markets20 cited