Citation profile for Jeremy Houston Large

Jeremy Houston Large : Citation Profile

Oxford University

H index

i10 index

235

Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   7 years (2004 - 2011). See details.
   Cites by year: 33
   Journals where Jeremy Houston Large has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 6 (2.49 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla212
   Updated: 2024-12-03    RAS profile: 2023-03-16
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Jeremy Houston Large.

Is cited by:

Medeiros, Marcelo (16)

Shephard, Neil (13)

Hansen, Peter (10)

Asai, Manabu (10)

Hautsch, Nikolaus (7)

Xiu, Dacheng (6)

Foucault, Thierry (4)

Clements, Adam (4)

Podolskij, Mark (4)

LEHALLE, Charles-Albert (4)

Kandel, Eugene (4)

Cites to:

Foucault, Thierry (16)

Shephard, Neil (15)

Kandel, Eugene (10)

Andersen, Torben (9)

Bollerslev, Tim (9)

Lunde, Asger (9)

Hansen, Peter (8)

Engle, Robert (8)

Diebold, Francis (7)

Ghysels, Eric (6)

Biais, Bruno (5)

Main data

Where Jeremy Houston Large has published?

Working Papers Series with more than one paper published	# docs
Economics Series Working Papers / University of Oxford, Department of Economics	4
OFRC Working Papers Series / Oxford Financial Research Centre	2

Recent works citing Jeremy Houston Large (2024 and 2023)

Year	Title of citing document
2023	Small impact analysis in stochastically illiquid markets. (2021). Kivman, Evgueni ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2103.05957. Full description at Econpapers \|\| Download paper
2024	Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939. Full description at Econpapers \|\| Download paper
2023	Multi-kernel property in high-frequency price dynamics under Hawkes model. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2302.11822. Full description at Econpapers \|\| Download paper
2024	New insights into liquidity resiliency. (2024). Papavassiliou, Vassilios ; Boubaker, Sabri ; Osullivan, Conall ; Wafula, Ronald Wekesa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001609. Full description at Econpapers \|\| Download paper
2023	Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes. (2023). Clements, Adam ; Volkov, V ; Lindsay, K A ; Hurn, A S. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1759-1790.*. Full description at Econpapers \|\| Download paper
2023	Liquidity Risk and Funding Cost. (2023). Ranaldo, Angelo ; Wrampelmeyer, Jan ; Bechtel, Alexander. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:2:p:399-422.. Full description at Econpapers \|\| Download paper

Works by Jeremy Houston Large:

Year	Title	Type	Cited
2011	Estimating quadratic variation when quoted prices change by a constant increment In: Journal of Econometrics. [Full Text][Citation analysis]	article	13
2007	Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment.(2007) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13	paper
2007	Measuring the resiliency of an electronic limit order book In: Journal of Financial Markets. [Full Text][Citation analysis]	article	131
2009	A market-clearing role for inefficiency on a limit order book In: Journal of Financial Economics. [Full Text][Citation analysis]	article	7
2006	A Market-Clearing Role for Inefficiency on a Limit Order Book.(2006) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7	paper
2004	Cancellation and Uncertainty Aversion on Limit Order Books In: Economics Papers. [Full Text][Citation analysis]	paper	8
2004	Cancellation and uncertainty aversion on limit order books.(2004) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8	paper
2004	Cancellation and uncertainty aversion on limit order books.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8	paper
2005	Estimating quadratic variation when quoted prices jump by a constant increment In: Economics Papers. [Full Text][Citation analysis]	paper	16
2005	Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment.(2005) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16	paper
2005	Estimating quadratic variation when quoted prices jump by a constant increment.(2005) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16	paper
2008	Ergodic Equilibria in Stochastic Sequential Games In: Economics Series Working Papers. [Full Text][Citation analysis]	paper	0
2008	Moving Average-Based Estimators of Integrated Variance In: Econometric Reviews. [Full Text][Citation analysis]	article	52
2008	Pro-rata matching and one-tick futures markets In: CFS Working Paper Series. [Full Text][Citation analysis]	paper	8