Jun Cai

with Bollerslev · 2000–2002

A researcher in the Science corpus: 4 papers; trusts 2 researchers and is trusted by 10 researchers here, as inferred from the citation graph.

Whom Jun Cai trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Torben G. Andersen
2. Tim Bollerslev
3. Mark L. Mitchell
4. David M. Cutler

Who trusts Jun Cai overall

1. J. Elder
2. Fergal O'Connor
3. Brian M. Lucey
4. Hong Miao
5. Jussi Nikkinen
6. Kris Boudt
7. Edel Tully
8. Raj Aggarwal

Papers from Jun Cai's perspective

Ordered by how strongly the researchers Jun Cai trusts endorse each paper. Same corpus, a different order for every researcher.

1. Statistics for long-memory processes
2. The Impact of Public Information on the Stock Market
3. Public information releases, private information arrival and volatility in the foreign exchange market
4. Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
5. Market Architecture: Limit Order Books Versus Dealership Markets
6. Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong
7. What Moves the Bond Market
8. The jump-risk premia implicit in options: evidence from an integrated time-series study $
9. Generalized autoregressive conditional heteroskedasticity
10. Separating Microstructure Noise from Volatility

Their papers

• Intraday and interday volatility in the Japanese stock market (2000) — 183 citations
• What moves the gold market (2001) — 208 citations
• Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market (2000) — 268 citations
• The components of the bid–ask spread in a limit-order market: evidence from the Tokyo Stock Exchange (2002) — 119 citations