Evolution of Transitory Volatility over the Week
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References listed on IDEAS
- Burton Hollifield & Robert A. Miller & Patrik Sandås, 2004.
"Empirical Analysis of Limit Order Markets,"
Review of Economic Studies,
Oxford University Press, vol. 71(4), pages 1027-1063.
- Burton Hollifield & Robert Miller & Patrik Sandas, "undated". "Empirical Analysis of Limit Order Markets," GSIA Working Papers -290183991, Carnegie Mellon University, Tepper School of Business.
- Hollifield, Burton & Miller, Robert & Sandås, Patrik, 2001. "Empirical Analysis of Limit Order Markets," CEPR Discussion Papers 2843, C.E.P.R. Discussion Papers.
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More about this item
KeywordsTransitory volatility; Price formation; Exogenous liquidity demand;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
StatisticsAccess and download statistics
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