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Commentary: Volatility, price resolution, and the effectiveness of price limits · Study

WorkCommentary: Volatility, price resolution, and the effectiveness of price limits

Bruce N. Lehmann1989

Work1989

Commentary: Volatility, price resolution, and the effectiveness of price limits

Bruce N. Lehmann

96 citations·0/0 files stored·Journal of Financial Services Research

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1980The Extreme Value Method for Estimating the Variance of the Rate of Return 1980On the Estimation of Security Price Volatilities from Historical Data

Cited by

2000Characteristics of stocks that frequently hit price limits: Empirical evidence from Taiwan and Thailand 2004What Makes Circuit Breakers Attractive to Financial Markets? A Survey 2013RECONSIDERING PRICE LIMIT EFFECTIVENESS 2005The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges 2010Are price limits really bad for equity markets?2001Daily price limits and stock price behavior: evidence from the Taiwan stock exchange 2002The effectiveness of price limits in an emerging market: Evidence from the Korean Stock Exchange 2006ARE PRICE LIMITS EFFECTIVE? EVIDENCE FROM THE ISTANBUL STOCK EXCHANGE

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2003Forecasting Volatility in Financial Markets: A Reviewarticle · 2 shared references 2010Volatility forecast comparison using imperfect volatility proxiesarticle · 2 shared references 2002Range‐Based Estimation of Stochastic Volatility Modelsarticle · 2 shared references 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependenciesarticle · 2 shared references 2012A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Pricesarticle · 2 shared references 1989Stock Volatility and the Crash of '87article · 2 shared references

Details

Year1989

Typeeditorial

Published1989-12-01

VenueJournal of Financial Services Research

ISSN-L0920-8550

Languageen

Citations96

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/bf00122802

openalex_workW3125042279

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