Estimation of spot volatility with superposed noisy data
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Do enterpriseâbank relationships improve market quality? Evidence from Taiwan
The impact of tick-size reductions in foreign currency futures markets
Do foreign institutional traders have private information for the market index? The aspect of market microstructure
The impact of ownership concentration and analyst coverage on market liquidity: Comparative evidence from an auction and a specialist market
Sequence classification of the limit order book using recurrent neural networks
A continuous and efficient fundamental price on the discrete order book grid
Global price discovery in the Australian dollar market and its determinants
Information uncertainty and target valuation in mergers and acquisitions
Labor unions and information asymmetry among investors
Foreign equity flows: Boon or bane to the liquidity of Malaysian stock market?
Initial public offerings on the UK when-issued market
Investor sentiment and evaporating liquidity during the financial crisis
Inconsistencies in bond market quotes: Is it the wrong model or the wrong data?
The impact of the Volcker rule on targeted banks, systemic risk, liquidity, and financial reporting quality
Empirical analysis of the international public covered bond market
Pricing and hedging GDP-linked bonds in incomplete markets
Picking up the pennies in front of the bulldozer: The profitability of gilt based trading strategies
Investor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets
Market volatility and stock returns: The role of liquidity providers
Income smoothing may result in increased perceived riskiness: Evidence from bid-ask spreads around loss announcements
An analysis of liquidity skewness for European sovereign bond markets
Financial market structures revealed by pricing rules: Efficient complete markets are prevalent
Disentangling the relationship between liquidity and returns in Latin America
A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets
The stock market effects of a securities transaction tax: Quasi-experimental evidence from Italy
Information leakage in family firms: Evidence from short selling around insider sales
The economic consequences associated with integrated report quality: Capital market and real effects
Company responses to exchange queries in real time
On the limit order behaviour of retail and non-retail investors
The impact of latency sensitive trading on high frequency arbitrage opportunities
What drives the liquidity of sovereign bonds when markets are under stress? An assessment of the new Basel 3 rules on bank liquid assets
Market maker competition and price efficiency: Evidence from China
Social trust and the liquidity of cross-listed securities
Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis
A one-level limit order book model with memory and variable spread
When does the peer information environment matter?
An application of extreme value theory in estimating liquidity risk
How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach
Earnings announcements and quoted bid-ask spreads of U.S. Bank Holding Companies
Pseudo market-makers, market quality and the minimum tick size
The effect of data breach announcements beyond the stock price: Empirical evidence on market activity
Liquidity basis between credit default swaps and corporate bonds markets
Pre-trade transparency in over-the-counter bond markets
Is high-frequency trading tiering the financial markets?
Market risk-based capital requirements, trading activity, and bank risk
Limited liability and share transferability: An analysis of California firms, 19201940
Do voluntary disclosures of bad news improve liquidity?
High frequency trading and the 2008 short-sale ban
Portfolio management using realized covariances: Evidence from Brazil
An examination of the forward prediction error of U.S. dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry
The impact of ECB macro-announcements on bid–ask spreads of European blue chips
Bid-ask spread, information asymmetry and acquisition of oil and gas assets
Short sales, margin purchases and bid–ask spreads
A maximum (non-extensive) entropy approach to equity options bid–ask spread
Bid-ask spread dynamics in foreign exchange markets
Order flow, bid–ask spread and trading density in foreign exchange markets
Dynamics of bid–ask spread return and volatility of the Chinese stock market
The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects ☆