Motivated from Ross (1989) who maintains that asset volatilities are synonymous to the
information flow, we claim that cross-market volatility transmission effects are synonymous to …

We analyze the role of global and regional measures of financial stress in forecasting
realized volatility of the oil market based on 5-min intraday data covering the period of 4th …

This paper reviews the recent literature on conditional duration modeling in high‐frequency
finance. These conditional duration models are associated with the time interval between …

We explore the dynamics of informed trading around corporate announcements of merger
bids, dividend initiations, SEOs, and quarterly earnings by calculating daily posterior …

We analyze the predictive power of time-varying risk aversion for the realized volatility of
crude oil returns based on high-frequency data. Using random forests, and their extensions …

Housing demands are partially driven by participant's sentiment, but the literature on
housing economics rarely acknowledges that fact. This paper aims to investigate the role of …

Using eight measures of liquidity, and addressing the potential endogeneity of initial returns,
we find underpricing generally increases the secondary market liquidity of IPOs over the first …

The probability of informed trading (PIN) is a commonly used market microstructure measure
for detecting the level of information asymmetry. Estimating PIN can be problematic due to …

Market microstructure models imply that informed trading reduces liquidity and moves prices
in the direction of the information. We test this implication using the dynamic PIN model …

With the increase in the attention to cryptocurrency, studies on the factors affecting the price
fluctuation of cryptocurrency have been actively conducted. Prior researches suggested that …