Concepedia

Where does return and volatility come from? The case of Asian ETFs

Jose A. Gutierrez, Valeria Martínez, Yiuman Tse

International Review of Economics & Finance · 2009 · 51 citations · 32 references

DOI

Concepts

References

32

The distribution of realized stock return volatility

Torben G. Andersen · Journal of Financial Economics · 2001 · 2.4K citations

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The Distribution of Realized Exchange Rate Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Journal of the American Statistical Association · 2001 · 2.2K citations

, , +17

Stock return variances

Kenneth R. French, Richard Roll · Journal of Financial Economics · 1986 · 1.9K citations

Order imbalance, liquidity, and market returns

Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam · Journal of Financial Economics · 2002 · 952 citations

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Transactions, Volume, and Volatility

Charles M. Jones, Gautam Kaul, Marc L. Lipson · Review of Financial Studies · 1994 · 877 citations

, , +14