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Order flow and volatility: An empirical investigation. (2014). van der Wel, Michel ; van Dijk, Dick ; Taylor, Nick ; Opschoor, Anne.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:28:y:2014:i:c:p:185-201.

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Cited: 14

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Citations

Citations received by this document

  1. Who benefits more? Shanghai-Hong Kong stock Connect—“Through Train”. (2023). Ohk, Ki Yool ; Wu, Ming.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:84:y:2023:i:c:p:409-427.

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  2. The effect of short selling on volatility and jumps. (2022). Wee, Marvin ; Treepongkaruna, Sirimon ; Foong, Glenn Kit ; Padungsaksawasdi, Chaiyuth.
    In: Australian Journal of Management.
    RePEc:sae:ausman:v:47:y:2022:i:1:p:34-52.

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  3. How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective. (2022). Yuferova, Darya ; van Dijk, Mathijs ; Rosch, Dominik ; Roll, Richard ; Bongaerts, Dion.
    In: Management Science.
    RePEc:inm:ormnsc:v:68:y:2022:i:4:p:3071-3089.

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  4. Loaded for bear: Bitcoin private wallets, exchange reserves and prices. (2022). Baur, Dirk G ; Hoang, Lai T.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:144:y:2022:i:c:s0378426622002023.

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  5. The interrelationship between order flow, exchange rate, and the role of American economic news. (2021). Wang, Xiangning ; Firouzi, Shahrokh.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001121.

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  6. A marked point process model for intraday financial returns: modeling extreme risk. (2020). Herrera, Rodrigo ; Clements, Adam.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1600-y.

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  7. Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein. (2020). van der Wel, M.
    In: ERIM Inaugural Address Series Research in Management.
    RePEc:ems:euriar:124748.

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  8. The impact of the US stock market opening on price discovery of government bond futures. (2019). Tse, Yiuman ; Jiao, Feng ; Indriawan, Ivan.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:7:p:779-802.

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  9. Structural breaks and volatility forecasting in the copper futures market. (2018). Lin, Boqiang ; Gong, XU.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:38:y:2018:i:3:p:290-339.

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  10. Something in the air: Information density, news surprises, and price jumps. (2018). Füss, Roland ; Stein, Michael ; Mager, Ferdinand ; Grabellus, Markus ; Fuss, Roland ; ROLAND FÜSS, .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:53:y:2018:i:c:p:50-75.

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  11. Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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  12. Misspecification Testing in GARCH-MIDAS Models. (2015). Schienle, Melanie ; Conrad, Christian.
    In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
    RePEc:zbw:vfsc15:112919.

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  13. Public news flow in intraday component models for trading activity and volatility. (2015). Clements, Adam ; Papalexiou, Vasilios ; Fuller, Joanne .
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2015_04.

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  14. Significance testing in empirical finance: A critical review and assessment. (2015). Kim, Jae ; Ji, Philip Inyeob.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:34:y:2015:i:c:p:1-14.

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  4. Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries. (2019). Grabowski, Wojciech.
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