Duration, volume and volatility impact of trades
S Manganelli - Journal of Financial markets, 2005 - Elsevier
This paper presents a framework to model duration, volume and returns simultaneously,
obtaining an econometric reduced form that incorporates causal and feedback effects …
obtaining an econometric reduced form that incorporates causal and feedback effects …
Duration, Volume and Volatility Impact of Trades
S Manganelli - 2002 - papers.ssrn.com
This paper develops a new econometric framework to model duration, volume and volatility
simultaneously. We obtain an econometric reduced form that incorporates causal and …
simultaneously. We obtain an econometric reduced form that incorporates causal and …
Duration, volume and volatility impact of trades
S Manganelli - 2002 - econpapers.repec.org
This paper develops a new econometric framework to model duration, volume and volatility
simultaneously. We obtain an econometric reduced form that incorporates causal and …
simultaneously. We obtain an econometric reduced form that incorporates causal and …
Duration, volume and volatility impact of trades
S Manganelli - Journal of Financial Markets, 2005 - infona.pl
This paper presents a framework to model duration, volume and returns simultaneously,
obtaining an econometric reduced form that incorporates causal and feedback effects …
obtaining an econometric reduced form that incorporates causal and feedback effects …
Duration, volume and volatility impact of trades
S Manganelli - Journal of Financial Markets, 2005 - ideas.repec.org
This paper develops a new econometric framework to model duration, volume and volatility
simultaneously. We obtain an econometric reduced form that incorporates causal and …
simultaneously. We obtain an econometric reduced form that incorporates causal and …
Duration, volume and volatility impact of trades
S Manganelli - 2002 - econstor.eu
This paper develops a new econometric framework to model duration, volume and volatility
simultaneously. We obtain an econometric reduced form that incorporates causal and …
simultaneously. We obtain an econometric reduced form that incorporates causal and …
Duration, volume and volatility impact of trades
S Manganelli - 2002 - ideas.repec.org
This paper develops a new econometric framework to model duration, volume and volatility
simultaneously. We obtain an econometric reduced form that incorporates causal and …
simultaneously. We obtain an econometric reduced form that incorporates causal and …
[引用][C] Duration, volume and volatility impact of trades
S Manganelli - Journal of Financial Markets, 2005 - econpapers.repec.org
EconPapers: Duration, volume and volatility impact of trades EconPapers Economics at your
fingertips EconPapers Home About EconPapers Working Papers Journal Articles Books and …
fingertips EconPapers Home About EconPapers Working Papers Journal Articles Books and …