-
1
-
-
0003375783
-
Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities
-
Ahn, H.-J., Cao, C. Q., & Choe, H. (1998). Decimalization and competition among stock markets: Evidence from the Toronto Stock Exchange cross-listed securities. Journal of Financial Markets 1, 51-87.
-
(1998)
Journal of Financial Markets
, vol.1
, pp. 51-87
-
-
Ahn, H.-J.1
Cao, C.Q.2
Choe, H.3
-
2
-
-
0013049260
-
Tick size, share prices, and stock splits
-
Angel, J. (1997). Tick size, share prices, and stock splits. Journal of Finance, 52, 655-682.
-
(1997)
Journal of Finance
, vol.52
, pp. 655-682
-
-
Angel, J.1
-
5
-
-
42449156579
-
Generalized autoregressive conditional heteroscedasticity
-
Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31, 307-327.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
6
-
-
70349218800
-
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
-
Bollerslev, T., & Wooldridge, J. M. (1992). Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews, 11, 143-178.
-
(1992)
Econometric Reviews
, vol.11
, pp. 143-178
-
-
Bollerslev, T.1
Wooldridge, J.M.2
-
7
-
-
10244270022
-
The impact of tick size on market quality: An empirical investigation of the stock exchange of Hong Kong tick size and market quality
-
Hong Kong University of Science and Technology
-
Chan, K. C., & Hwang, C.-Y. (2000). The impact of tick size on market quality: An empirical investigation of the stock exchange of Hong Kong tick size and market quality. Working paper, Hong Kong University of Science and Technology.
-
(2000)
Working Paper
-
-
Chan, K.C.1
Hwang, C.-Y.2
-
8
-
-
0000183335
-
Intraday volatility in the stock index and stock index futures markets
-
Chan, K., Chan, K. C., & Karolyi, G. A. (1991). Intraday volatility in the stock index and stock index futures markets. The Review of Financial Studies, 4(4), 657-684.
-
(1991)
The Review of Financial Studies
, vol.4
, Issue.4
, pp. 657-684
-
-
Chan, K.1
Chan, K.C.2
Karolyi, G.A.3
-
9
-
-
0038458946
-
Intraday lead-lag relationships between the futures, options and stock market
-
De Jong, F., & Donders, M. W. M. (1998). Intraday lead-lag relationships between the futures, options and stock market. European Financial Review, 1, 337-359.
-
(1998)
European Financial Review
, vol.1
, pp. 337-359
-
-
De Jong, F.1
Donders, M.W.M.2
-
10
-
-
0031161223
-
High frequency analysis of lead-lag relationships between financial markets
-
De Jong, F., & Nijman, T. (1997). High frequency analysis of lead-lag relationships between financial markets. Journal of Empirical Finance, 4(2-3), 259-277.
-
(1997)
Journal of Empirical Finance
, vol.4
, Issue.2-3
, pp. 259-277
-
-
De Jong, F.1
Nijman, T.2
-
11
-
-
0032545911
-
Price discovery in the foreign exchange market: An empirical analysis of the yen/dmark rate
-
De Jong, F., Mahieu, R., & Schotman, P. (1998). Price discovery in the foreign exchange market: An empirical analysis of the yen/dmark rate. Journal of International Money and Finance, 17, 5-27.
-
(1998)
Journal of International Money and Finance
, vol.17
, pp. 5-27
-
-
De Jong, F.1
Mahieu, R.2
Schotman, P.3
-
13
-
-
0000051984
-
Autoregressive conditional heteroscedasticity with estimates of variance of United Kingdom inflation
-
Engle, R. (1982). Autoregressive conditional heteroscedasticity with estimates of variance of United Kingdom inflation. Econometrica, 50, 987-1007.
-
(1982)
Econometrica
, vol.50
, pp. 987-1007
-
-
Engle, R.1
-
14
-
-
0000754261
-
Some new stock market indexes
-
Fisher, L. (1966). Some new stock market indexes. Journal of Business, 39, 191-225.
-
(1966)
Journal of Business
, vol.39
, pp. 191-225
-
-
Fisher, L.1
-
15
-
-
0001240870
-
Eights, sixteenths and market depth: Changes in tick size and liquidity provision on the New York Stock Exchange
-
Goldstein, M., & Kavajecz, K. (2000). Eights, sixteenths and market depth: Changes in tick size and liquidity provision on the New York Stock Exchange. Journal of Financial Economics, 56(1), 125-149.
-
(2000)
Journal of Financial Economics
, vol.56
, Issue.1
, pp. 125-149
-
-
Goldstein, M.1
Kavajecz, K.2
-
16
-
-
0000621934
-
Stock price clustering and discreteness
-
Harris, L. (1991). Stock price clustering and discreteness. Review of Financial Studies, 4, 389-415.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 389-415
-
-
Harris, L.1
-
17
-
-
21344483536
-
Minimum price variations, discrete bid-ask spreads and quotation sizes
-
Harris, L. (1994). Minimum price variations, discrete bid-ask spreads and quotation sizes. Review of Financial Studies, 7, 149-178.
-
(1994)
Review of Financial Studies
, vol.7
, pp. 149-178
-
-
Harris, L.1
-
18
-
-
0010807068
-
-
Unpublished manuscript, University of Alberta
-
Huson, M., Kim, Y., & Mehrotra, V. (1997). Decimal quotes, market quality, and competition for order flow: Evidence from the Toronto Stock Exchange. Unpublished manuscript, University of Alberta.
-
(1997)
Decimal Quotes, Market Quality, and Competition for Order Flow: Evidence from the Toronto Stock Exchange
-
-
Huson, M.1
Kim, Y.2
Mehrotra, V.3
-
19
-
-
84977712229
-
The temporal relationship between S&P 500 futures and the S&P 500 index
-
Kawaller, I. G., Koch, P. D., & Koch, T. W. (1987). The temporal relationship between S&P 500 futures and the S&P 500 index. Journal of Finance, 42, 1309-1329.
-
(1987)
Journal of Finance
, vol.42
, pp. 1309-1329
-
-
Kawaller, I.G.1
Koch, P.D.2
Koch, T.W.3
-
20
-
-
0017846358
-
On a measure of lack of fit in time series models
-
Ljung, G. M., & Box, G. E. P. (1978). On a measure of lack of fit in time series models. Biometrika, 65, 297-303.
-
(1978)
Biometrika
, vol.65
, pp. 297-303
-
-
Ljung, G.M.1
Box, G.E.P.2
-
21
-
-
0000621768
-
An econometric analysis of nonsynchronous trading
-
Lo, A., & MacKinlay, A. C. (1990). An econometric analysis of nonsynchronous trading. Journal of Econometrics, 45, 181-212.
-
(1990)
Journal of Econometrics
, vol.45
, pp. 181-212
-
-
Lo, A.1
MacKinlay, A.C.2
-
22
-
-
0012889380
-
"Teenies" anyone?
-
Ronen, T., & Weaver, D. G. (2001). "Teenies" anyone? Journal of Financial Markets, 4(3), 231-260.
-
(2001)
Journal of Financial Markets
, vol.4
, Issue.3
, pp. 231-260
-
-
Ronen, T.1
Weaver, D.G.2
-
23
-
-
84944043652
-
A simple implicit measure of the effective bid-ask spread in an efficient market
-
Roll, R. (1984). A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance, 39, 1127-1139.
-
(1984)
Journal of Finance
, vol.39
, pp. 1127-1139
-
-
Roll, R.1
|