Volatility and Price Discovery in Stock Markets: An Intra-day Analysis of the New York Stock Exchange, Nasdaq Stock Market, London Stock Exchange, Euronext Paris and Deutsche Boerse

Product Description
Using return series with various differencing intervals that are as short as half-hour and as long as two weeks, I investigate the short-term volatility accentuation in five equity markets: the Nasdaq Stock Marke… More >>

Volatility and Price Discovery in Stock Markets: An Intra-day Analysis of the New York Stock Exchange, Nasdaq Stock Market, London Stock Exchange, Euronext Paris and Deutsche Boerse