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Liquidity and realized range-based volatility forecasting: Evidence from China
16 references·0 citing·41 second hopsampled
Liquidity and realized range-based volatility forecasting: Evidence from China (2019)Liquidity and realized range-based volati…A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)A Simple Way to Estimate Bid‐…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…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…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Market liquidity and volume around earnings announcements (1994)Market liquidity and volume a…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Theory of rational option pricing (2005)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)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Behavior of Stock-Market Prices (1965)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)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)A long memory property of stock market returns and a new model (1993)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Forecasting: theory and practice (2022)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Coherent Measures of Risk (1999)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2008Market Liquidity and Funding Liquidity5,147 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2003Modeling and Forecasting Realized Volatility3,920 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2005Asset pricing with liquidity risk2,892 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,846 cited
  • 1994Market liquidity and volume around earnings announcements1,786 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,586 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

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1,393 cited
  • 2012A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices1,134 cited
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