Volatility linkage among currency futures markets during US trading and non-trading periods
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multinational Financial Management.
Volume (Year): 9 (1999)
Issue (Month): 2 (March)
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Web page: http://www.elsevier.com/locate/mulfin
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jones, Charles M. & Kaul, Gautam & Lipson, Marc L., 1994. "Information, trading, and volatility," Journal of Financial Economics, Elsevier, vol. 36(1), pages 127-154, August.
- Grammatikos, Theoharry & Saunders, Anthony, 1986. "Futures Price Variability: A Test of Maturity and Volume Effects," The Journal of Business, University of Chicago Press, vol. 59(2), pages 319-30, April.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Oldfield, George S, Jr & Rogalski, Richard J, 1980. " A Theory of Common Stock Returns over Trading and Non-Trading Periods," Journal of Finance, American Finance Association, vol. 35(3), pages 729-51, June.
- Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-51.
- Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September.
- Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
- Lee, Bong-Soo, 1992. " Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation," Journal of Finance, American Finance Association, vol. 47(4), pages 1591-603, September.
- Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
- Krylova, Elizaveta & Nikkinen, Jussi & Vähämaa, Sami, 2009.
"Cross-dynamics of volatility term structures implied by foreign exchange options,"
Journal of Economics and Business,
Elsevier, vol. 61(5), pages 355-375, September.
- Krylova, Elizaveta & Nikkinen, Jussi & Vähämaa, Sami, 2005. "Cross-dynamics of volatility term structures implied by foreign exchange options," Working Paper Series 0530, European Central Bank.
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