Portfolio Serial Correlation and Nonsynchronous Trading
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 20 (1985)
Issue (Month): 04 (December)
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- Andrey Kudryavtsev, 2013. "Think About Tomorrow Morning: Opening Stock Returns May Show Reversals," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 16(50), pages 51-64, December.
- Josep Garcia Blandón, 2001. "New findings regarding return autocorrelation anomalies and the importance of non-trading periods," Economics Working Papers 585, Department of Economics and Business, Universitat Pompeu Fabra.
- Lang, Larry H. P. & Lee, Yi Tsung, 1999. "Performance of various transaction frequencies under call markets: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 23-39, February.
- Joanna Olbrys, 2013. "Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 49(S2), pages 145-157, March.
- Hurvich, Cliiford & Wang, Yi, 2006.
"A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects,"
1413, University Library of Munich, Germany.
- Hurvich, Clifford & Wang, Yi, 2009. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 12575, University Library of Munich, Germany.
- Brooks, Chris & Hinich, Melvin J., 1999. "Cross-correlations and cross-bicorrelations in Sterling exchange rates," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 385-404, October.
- KUDRYAVTSEV Andrey, 2012. "Early To Rise: When Opening Stock Returns Are Higher Than Daily Returns?," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(3), pages 58-73, December.
- Yu, Chih-Hsien & Wu, Chunchi, 2001. "Economic sources of asymmetric cross-correlation among stock returns," International Review of Economics & Finance, Elsevier, vol. 10(1), pages 19-40.
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