Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows
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Cites work
- Common risk factors in the returns on stocks and bonds
- scientific article; zbMATH DE number 44406 (Why is no real title available?)
- Hypothesis Testing with Efficient Method of Moments Estimation
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders
- Large Sample Properties of Generalized Method of Moments Estimators
- The Price Variability-Volume Relationship on Speculative Markets
- Why is equity order flow so persistent?
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(7)- Time reversibility tests of volume-volatility dynamics for stock returns
- Stock market volatility and public information flow: a non-linear perspective
- A nonparametric test of the mixture-of-distributions model
- Editors' introduction
- FX futures invariance
- Structural changes and statistical causal relationships in agricultural commodities markets: the impact of public news sentiment and institutional announcements
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