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Volatility clustering and the bid-ask spread: Exchange rate behavior in early Renaissance Florence

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  • Booth, G. Geoffrey
  • Gurun, Umit G.

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  • Booth, G. Geoffrey & Gurun, Umit G., 2008. "Volatility clustering and the bid-ask spread: Exchange rate behavior in early Renaissance Florence," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 131-144, January.
    • Handle: RePEc:eee:empfin:v:15:y:2008:i:1:p:131-144
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    1. Kelly David L. & Steigerwald Douglas G, 2004. "Private Information and High-Frequency Stochastic Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-30, March.
    2. Easley, David & Kiefer, Nicholas M & O'Hara, Maureen, 1997. "One Day in the Life of a Very Common Stock," The Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 805-835.
    3. Lee, Charles M C & Ready, Mark J, 1991. "Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
    4. Geoffrey Poitras, 2000. "The Early History of Financial Economics, 1478–1776," Books, Edward Elgar Publishing, number 2151.
    5. Weber, Ernst Juerg, 1996. ""Imaginary" or "Real" Moneys of Account in Medieval Europe? An Econometric Analysis of the Basle Pound, 1365-1429," Explorations in Economic History, Elsevier, vol. 33(4), pages 479-495, October.
    6. Heather Mitchell & Rob Brown & Stephen Easton, 2002. "Old volatility - ARCH effects in 19th century consol data," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 301-307.
    7. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    8. McCloskey, Donald N, 1976. "Does the Past Have Useful Economics?," Journal of Economic Literature, American Economic Association, vol. 14(2), pages 434-461, June.
    9. Karanasos, Menelaos & Kim, Jinki, 2006. "A re-examination of the asymmetric power ARCH model," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 113-128, January.
    10. Joel Hasbrouck, 1999. "The Dynamics of Discrete Bid and Ask Quotes," Journal of Finance, American Finance Association, vol. 54(6), pages 2109-2142, December.
    11. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
    12. Kearns, P & Pagan, A R, 1993. "Australian Stock Market Volatility: 1875-1987," The Economic Record, The Economic Society of Australia, vol. 69(205), pages 163-178, June.
    13. Baillie, Richard T. & Geoffrey Booth, G. & Tse, Yiuman & Zabotina, Tatyana, 2002. "Price discovery and common factor models," Journal of Financial Markets, Elsevier, vol. 5(3), pages 309-321, July.
    14. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Bell, Adrian & Sutcliffe, Charles, 2010. "Valuing medieval annuities: Were corrodies underpriced?," Explorations in Economic History, Elsevier, vol. 47(2), pages 142-157, April.
    2. Ahmad, Khurshid & Han, JingGuang & Hutson, Elaine & Kearney, Colm & Liu, Sha, 2016. "Media-expressed negative tone and firm-level stock returns," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 152-172.
    3. Jain, Pawan & Jiang, Christine, 2014. "Predicting future price volatility: Empirical evidence from an emerging limit order market," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 72-93.
    4. Goktug Sahin & Afsin Sahin, 2023. "An Empirical Examination of Asymmetry on Exchange Rate Spread Using the Quantile Autoregressive Distributed Lag (QARDL) Model," JRFM, MDPI, vol. 16(1), pages 1-25, January.
    5. Adrian R. Bell & Chris Brooks & Tony K. Moore, 2017. "Did Purchasing Power Parity Hold in Medieval Europe?," Manchester School, University of Manchester, vol. 85(6), pages 682-709, December.
    6. Ionuț Alexandru Pleșcău, 2019. "The Economy of Florence during the Medici Government," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 276-279, August.
    7. G. Geoffrey Booth & Sanders S. Chang, 2017. "Domestic exchange rate determination in Renaissance Florence," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 11(3), pages 405-445, September.

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