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An Empirical Analysis of Liquidity and Its Determinants in the German Intraday Market for Electricity
16 references·0 citing·38 second hop
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References

  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2006Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches2,559 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 2012A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices1,134 cited
  • 2018Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects949 cited
  • 2006A liquidity-augmented capital asset pricing model891 cited
  • 2007Pricing the commonality across alternative measures of liquidity585 cited
  • 1996Limit Order Trading400 cited
  • 1997A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks314 cited
  • 2001Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong308 cited

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1991
Liquidity, Asset Prices and Financial Policy
239 cited

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