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Heterogeneous traders, liquidity, and volatility in crude oil futures market
16 references·2 citing·36 second hop
Heterogeneous traders, liquidity, and volatility in crude oil futures market (2017)Heterogeneous traders, liquidity, and vol…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …CAViaR (2004)CAViaRModeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…The distribution of realized stock return volatility (2001)The distribution of realized …Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Commonality in liquidity (2000)Commonality in liquidityAnswering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Liquidity and Market Structure (1988)Liquidity and Market StructureThe Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model (2021)Salmon futures and the Fish P…The market quality of commodity futures markets (2020)The market quality of commodi…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)A long memory property of stock market returns and a new model (1993)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Liquidity and leverage (2008)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2004CAViaR2,210 cited
  • 2000Commonality in liquidity1,748 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited

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Cited by

  • 2021Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model24 cited
  • 2020The market quality of commodity futures markets20 cited