high-frequency data; extreme value theory; extreme price movements; liquidity measures
Disciplines :
Finance
Author, co-author :
Hambuckers, Julien ; Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Finance de Marché
Hübner, Philippe ; Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Finance de Marché ; Université de Liège - ULiège > HEC Liège Research > HEC Liège Research: Financial Management for the Future
Language :
English
Title :
Which early warning signals predict high-frequency extreme price movements?
Publication date :
27 August 2024
Event name :
26th International Conference on Computational Statistics
