Why Are Mutual Fund Flow and Market Returns Related? Evidence from High-frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.155431 ◽

1999 ◽

Cited By ~ 7

Author(s):

Roger M. Edelen ◽

Jerold B. Warner

Keyword(s):

Mutual Fund ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Market Returns ◽

Fund Flow

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PERSISTENCE IN UK STOCK MARKET RETURNS: SOME EVIDENCE USING HIGH-FREQUENCY DATA

Journal of Business Finance &amp Accounting ◽

10.1111/j.1468-5957.1992.tb00641.x ◽

1992 ◽

Vol 19 (4) ◽

pp. 505-514 ◽

Cited By ~ 10

Author(s):

Ronald Mac Donald ◽

David Power

Keyword(s):

Stock Market ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Market Returns ◽

Stock Market Returns

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Analysing emerging market returns with high-frequency data during the global financial crisis of 2007–2009

European Journal of Finance ◽

10.1080/1351847x.2021.1957698 ◽

2021 ◽

pp. 1-33

Author(s):

Abdullah Yalaman ◽

Viktor Manahov

Keyword(s):

Financial Crisis ◽

High Frequency ◽

Global Financial Crisis ◽

Emerging Market ◽

High Frequency Data ◽

Frequency Data ◽

Market Returns ◽

The Global Financial Crisis

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Impact of the Introduction of Call Auction on Price Discovery: Evidence from the Indian Stock Market Using High-Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2188542 ◽

2012 ◽

Author(s):

Sobhesh Kumar Agarwalla ◽

Joshy Jacob ◽

Ajay Pandey

Keyword(s):

Stock Market ◽

High Frequency ◽

Price Discovery ◽

High Frequency Data ◽

Frequency Data ◽

Call Auction ◽

Indian Stock Market

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High Frequency Data in Finance: A Study of the Indian Equity Markets

SSRN Electronic Journal ◽

10.2139/ssrn.300343 ◽

2003 ◽

Author(s):

Susan Thomas

Keyword(s):

High Frequency ◽

Equity Markets ◽

High Frequency Data ◽

Frequency Data

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Efficient Estimation of Volatility using High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.306002 ◽

2002 ◽

Cited By ~ 12

Author(s):

Gilles O. Zumbach ◽

Fulvio Corsi ◽

Adrian Trapletti

Keyword(s):

High Frequency ◽

Efficient Estimation ◽

High Frequency Data ◽

Frequency Data

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Forecasting Exchange Rate Realized Volatility Through Decomposition Using High-Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.3099650 ◽

2017 ◽

Author(s):

Rim mname Lamouchi ◽

Russell mname Davidson ◽

Ibrahim mname Fatnassi ◽

Abderazak Ben mname Maatoug

Keyword(s):

Exchange Rate ◽

High Frequency ◽

Realized Volatility ◽

High Frequency Data ◽

Frequency Data

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Supplementary Material for "Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data''

SSRN Electronic Journal ◽

10.2139/ssrn.3472122 ◽

2019 ◽

Author(s):

Z. Merrick Li ◽

Michel Vellekoop ◽

Roger Jean Auguste Laeven

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Volatility Estimation ◽

Integrated Volatility ◽

Supplementary Material

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Stochastic Volatility: A Tale of Co-Jumps, Non-Normality, GMM and High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.3549884 ◽

2019 ◽

Author(s):

Christian-Oliver Ewald ◽

Yihan Zou

Keyword(s):

Stochastic Volatility ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data

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Profitability of Trading Strategies on High-Frequency Data, with Trading Costs

SSRN Electronic Journal ◽

10.2139/ssrn.568363 ◽

2004 ◽

Cited By ~ 1

Author(s):

Tirthankar C. Patnaik ◽

Susan Thomas

Keyword(s):

High Frequency ◽

Trading Strategies ◽

High Frequency Data ◽

Frequency Data ◽

Trading Costs

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A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2741911 ◽

2016 ◽

Cited By ~ 2

Author(s):

Yacine Ait-Sahalia ◽

Dacheng Xiu

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Hausman Test ◽

Market Microstructure Noise

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