Relative liquidity and future volatility
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- repec:eee:intfin:v:53:y:2018:i:c:p:179-199 is not listed on IDEAS
- Lee, Jaeram & Lee, Geul & Ryu, Doojin, 2018. "Difference in the intraday return-volume relationships of spots and futures: A quantile regression approach," Economics Discussion Papers 2018-68, Kiel Institute for the World Economy (IfW).
- Ahmed, Walid M.A., 2017. "The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience," Research in International Business and Finance, Elsevier, vol. 40(C), pages 61-77.
More about this item
KeywordsOrder-driven markets; limit order book distribution; volatility predictability; liquidity;
- G1 - Financial Economics - - General Financial Markets
- G20 - Financial Economics - - Financial Institutions and Services - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
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