Volatility and market structure

Journal of Financial Markets

Volumn 4, Issue 4, 2001, Pages 359-384

  Kavajecz, Kenneth A ^a   Odders White, Elizabeth R ^b  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

C30; G10; GARCH; Limit order book; Market microstructure; Volatility

Indexed keywords

EID: 0042238333     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(01)00013-1     Document Type: Article

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