scientific article; zbMATH DE number 6453480

MaRDI QIDQ5260059zbMATHFDO

Authors Hua Guo, Chunfeng Wang, Zhen-Ming Fang

Publication date 29 June 2015

zbMATH Keywords

instantaneous volatilityasymmetric ACD modelimpulsive trademicro-trade informationparametric bootstraps

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economics of information (91B44)

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Cited in

(16)

• Research on stock liquidity based on trade size, order imbalance in Shanghai A-share market
• Analysis of trade packages in the Chinese stock market
• The information content of high-frequency traders aggressive orders: recent evidence
• Time-aggregated information and stock price volatility
• The influence of intraday seasonality on volatility transmission pattern
• New evidence on market response to public announcements in the presence of microstructure noise
• Assessing influential trade effects via high-frequency market reactions
• High frequency trading and stock index returns: a nonlinear dynamic analysis
• Research on the impact of investor attention on gold futures market from the perspective of high frequency
• Impacts on stock price through mixed distribution classified information GARCH model and its application
• Informativeness of trade size in foreign exchange markets
• Volatility modeling and prediction: the role of price impact
• Component ACD model and its application in studying the price-related feedback effect in investor trading behaviors in Chinese stock market
• The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets
• The impact of options introduction on the volatility of the underlying equities: evidence from the Chinese stock markets
• Theoretical and empirical study of relationship between volume and price behavior on the view of transaction frequency

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