Impact of Transaction Duration, Volume and Direction on Price and Volatility Dynamics
Finance and Financial Management | Portfolio and Security Analysis
World Congress of Econometrics
Warachka, Mitchell Craig; TAY, Anthony; Ting, Hian Ann, Christopher; and Tse, Yiu Kuen.
Impact of Transaction Duration, Volume and Direction on Price and Volatility Dynamics. (2005). World Congress of Econometrics. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/1559