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Estimating liquidity using information on the multivariate trading process
(2006-05-22)In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contempo- raneous relationship between these trading marks by exploiting the ... -
Maximum likelihood estimator for the uneven power distribution: application to DJI returns
(2010-05-08)This paper deals with estimating peaked densities over the interval [0,1] using the Un-even Two-Sided Power Distribution (UTP). This distribution is the most complex of all the bounded power distributions introduced by ... -
Value relevance of financial reporting on the Warsaw Stock Exchange
(2012-01-12)The paper is associated with value relevance research, investigating whether information from financial reports is reflected in the value of listed companies. The study includes annual reports of 440 companies listed on ...
