Concepedia

Liquidity and realized volatility prediction in Chinese stock market: A time-varying transitional dynamic perspective

Yanyan Xu, Jing Liu, Feng Ma, Jielei Chu

International Review of Economics & Finance · 2023 · 10 citations · 57 references

DOI

Concepts

References

57

Illiquidity and stock returns: cross-section and time-series effects

Yakov Amihud · Journal of Financial Markets · 2002 · 10.3K citations · Full text

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Asset pricing and the bid-ask spread

Yakov Amihud, Haim Mendelson · Journal of Financial Economics · 1986 · 5.3K citations

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Modeling and Forecasting Realized Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Econometrica · 2003 · 4K citations

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Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.5K citations

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A Simple Approximate Long-Memory Model of Realized Volatility

Fulvio Corsi · Journal of Financial Econometrics · 2008 · 2.5K citations

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