Extreme returns and intensity of trading
Asymmetric information models of market microstructure claim that variables such as trading intensity are proxies for latent information on the value of financial assets. We consider the interval-valued time series (ITS) of low/high returns and explore the relationship between these extreme returns...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
John Wiley and Sons Ltd
2019
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| Online Access: | View Fulltext in Publisher |