On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Futures
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More about this item
KeywordsAutoregressive conditional duration (ACD) model; high frequency data; Ultra-High-Frequency GARCH;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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