Realized volatility and transactions

Journal of Banking and Finance

Volumn 30, Issue 7, 2006, Pages 2063-2085

  Chan, Choon Chat ^a   Fong, Wai Mun ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Absolute residuals; Average trade size and order imbalance; Number of trades; Realized volatility

Indexed keywords

EID: 33744909397     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.05.021     Document Type: Article

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