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Statistical properties of an experimental political futures market. (2009). Tai, Chung-Ching ; Wang, Sun-Chong ; Che, Shu-Heng ; Li, Sai-Ping.
In: Quantitative Finance.
RePEc:taf:quantf:v:9:y:2009:i:1:p:9-16.

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  1. Statistical properties of agent-based models in markets with continuous double auction mechanism. (2010). Lin, Chih-Hao ; Wang, Sun-Chong ; Tseng, Jie-Jun.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:8:p:1699-1707.

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References

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Cocites

Documents in RePEc which have cited the same bibliography

  1. Statistical properties of an experimental political futures market. (2009). Tai, Chung-Ching ; Wang, Sun-Chong ; Che, Shu-Heng ; Li, Sai-Ping.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:1:p:9-16.

    Full description at Econpapers || Download paper

  2. Forecasting stock market volatility conditional on macroeconomic conditions.. (2007). Clements, Adam ; Becker, Ralf.
    In: NCER Working Paper Series.
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  3. Intraday evidence of efficacy of 1991-2004 Yen intervention by the Bank of Japan. (2007). Kim, Suk-Joong.
    In: Journal of International Financial Markets, Institutions and Money.
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  4. Where Does Price Discovery Occur in FX Markets?. (2007). D'Souza, Chris.
    In: Staff Working Papers.
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  5. A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects. (2007). Tauchen, George ; Bollerslev, Tim ; Kretschmer, Uta ; Pigorsch, Christian .
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  6. The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market. (2006). Ben Omrane, Walid ; Oppens, Herve.
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  7. Econometric analysis of high frequency data. (2006). Herwartz, Helmut.
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  8. The impact of monetary policy signals on the intradaily Euro-dollar volatility.. (2006). Mokhtar, Darmoul .
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  9. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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  10. Lévy distribution and long correlation times in supermarket sales. (2005). Groot, Robert D..
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  11. Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates. (2004). Gau, Yin-Feng ; Hau, M..
    In: Applied Economics Letters.
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  12. Uncovering Long Memory in High Frequency UK Futures. (2004). cotter, john.
    In: MPRA Paper.
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  13. Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model. (2004). Dark, Jonathan .
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  14. Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures. (2004). Dark, Jonathan .
    In: Monash Econometrics and Business Statistics Working Papers.
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  15. Statistical Models for High Frequency Security Prices. (2004). Oomen, Roel.
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  16. Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility. (2003). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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  17. CONDITIONAL VOLATILITY OF MOST ACTIVE SHARES OF CASABLANCA STOCK EXCHANGE. (2003). Abdelhamid, EL BOUHADI.
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  18. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
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  19. k -Factor GARMA models for intraday volatility forecasting. (2003). Lisi, Francesco ; Bisaglia, Luisa ; Bordignon, Silvano .
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  20. Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility. (2003). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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  21. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?. (2003). Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
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  23. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2003). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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  24. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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  25. LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS. (2002). Wright, Jonathan.
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  26. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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  27. Estimation methods for stochastic volatility models: a survey. (2002). Ruiz, Esther ; Broto, Carmen.
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  29. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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  32. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. (2000). Wright, Jonathan.
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  38. An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention. (1999). Neil, Beattie Fillion.
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  39. Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment. (1998). Bollerslev, Tim ; Das, Ashish ; Anderson, Torben G..
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  40. Twice a day or continuously? Observation frequency and inference on foreign exchange volatility persistence. (1998). Melvin, Michael.
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  41. Is There Private Information in the FX Market? The Tokyo Experiment.. (1997). Lyons, Richard ; Ito, Takatoshi ; Melvin, Michael T..
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  42. Is There Private Information in the FX Market? The Tokyo Experiment. (1997). Melvin, Michael ; Lyons, Richard ; Ito, Takatoshi.
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  43. Is there private information in the FX market? the Tokyo experiment. (1997). Lyons, Richard ; Ito, Takatoshi ; Melvin, Michael T..
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  44. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
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  45. A Multifractal Model of Asset Returns. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
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  46. Public Information Arrival, Exchange Rate Volatility, and Quote Frequency. (1996). Melvin, Michael ; Yin, Xixi.
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  47. DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. (1996). Bollerslev, Tim ; Andersen, Torben.
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  48. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. (1996). Bollerslev, Tim ; Andersen, Torben.
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  49. Rational speculators and exchange rate volatility. (1996). Osler, Carol.
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  50. Stochastic Volatility. (1995). Renault, Eric ; Harvey, Andrew ; Ghysels, Eric.
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  51. Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets. (1995). Jasiak, Joann ; gourieroux, christian ; Ghysels, Eric.
    In: CIRANO Working Papers.
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  52. Market Time and Asset Price Movements Theory and Estimation. (1995). Jasiak, Joann ; gourieroux, christian ; Ghysels, Eric.
    In: CIRANO Working Papers.
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