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Auckland University of Technology - Faculty of Business & Law
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macroeconomic news, high frequency trading, latency costs, market activity, event-based trading
GARCH, time varying coefficients, multinomial logit
Price Discovery, Tick Time models, Nasdaq, Ultra-high frequency data, Microstructure
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: SSRN-id571021.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Price discovery, tick time models, NASDAQ, ultra-high frequency data, microstructure
Foreign Bias, Home Bias, Culture, Portfolio Theory
Implied Volatility, Volatility Forecasting, Options
Cultural Dimensions, Insider Dealing, Price Run-Ups
Behavioral Finance, Excess Comovement; Investor Sentiment; International Equity Markets
Behavioral Finance, Excess Comovement, Investor Sentiment, International Equity Markets
VIX, Futures, Vector Autoregressions, Ultra-High Frequency Data
Mutual Fund Managers, Style Switching, Feedback Trading
Insider Trading, Criminal Sanctions, Bid-Ask Spreads, Information Asymmetry Costs
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: fire12001.
market microstructure, bid‐ask spreads, information asymmetry, insider trading, criminal sanctions
Market Microstructure, Bid-Ask Spreads, Information Asymmetry, Insider Trading, Criminal Sanctions
Heterogeneous Agents, Option Markets, Fundamentalists, Chartists
spill-over, implied volatility indices
VIX, VIX Futures, FOMC Announcement, Intraday data
Financial Decision Making, Risk Aversion, Synergies, Culture, Takeovers
Stock Market Integration, International Crises, Emerging Markets
Realized variance, Ultra-High Frequency data, Tick Time models, Nasdaq, Microstructure noise
mutual funds, market timing, heterogeneous agents models
National culture, cultural distance, international cross-listing
analyst herding, news sentiment, media coverage, disagreement, news dispersion
File name: fire.
public versus private information, ultra-high frequency data, Nasdaq, market microstructure
Information Share, Volatility Discovery, VDAX-NEW, Bank-Issued Warrants, Options, Retail Investors
NYSE, Stock Market Closure, Stock Liquidity, Information Efficiency of Stock Prices, Cross-Listing
File name: FIRE.
contemporaneous spillovers, identification through heteroskedasticity, volatility spillovers
VIX, Seasonality, Intraday data
Cross-Listings, Market Microstructure, Market Quality
Cultural Diversity, Cultural Distance, Board Diversity, Firm Performance
Time-Varying Arbitrage; Price discovery; Heterogeneous Agent Models
information share, stationarity, co-integration, variance decomposition, volatility spillover
Credit risk, sovereign bonds, CDS, heterogeneous agent models
Macroeconomic News Announcements, Bid-Ask Spreads, Spread Decomposition
Market Microstructure, Error-correction, Quote Dynamics, Cross-listings
Market Microstructure, Price Discovery, Macroeconomic News Announcements, Cross-listed Stocks
Market Microstructure, Price Discovery, Cross-Listings
Skewness; Commodities; Futures pricing; Selective hedging
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