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Trade Timing, Price Volatility and Serial Correlation

✍ Scribed by Ming-Chang Wang; Lon-Ping Zu

Book ID: 111059330
Publisher: John Wiley and Sons
Year: 2011
Tongue: English
Weight: 188 KB
Volume: aop
Category: Article
ISSN: 1354-7798
DOI: 10.1111/j.1468-036x.2011.00614.x

No coin nor oath required. For personal study only.

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The author wishes to thank Robert I. Webb (the editor) and an anonymous referee for very helpful comments, as well as Charles Bartlett from SIFMA for providing part of the data. Financial support from Citi Foundation is gratefully acknowledged.