Intra-day Futures Price Volatility: Information Effects and Variance Persistence
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
- Chang, Yuanchen & Taylor, Stephen J., 2003. "Information arrivals and intraday exchange rate volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 85-112, April.
- Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
- Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
- Lin, Emily & Lee, Cheng-Few & Wang, Kehluh, 2013. "Futures mispricing, order imbalance, and short-selling constraints," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 408-423.
- Antonakakis, Nikolaos & Floros, Christos & Kizys, Renatas, 2016. "Dynamic spillover effects in futures markets: UK and US evidence," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 406-418.
- Tan, Oon Geok & Gannon, Gerard L., 2002. "'Information effect' of economic news: SPI futures," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 467-489.
- Bollerslev, Tim & Ghysels, Eric, 1996.
"Periodic Autoregressive Conditional Heteroscedasticity,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 14(2), pages 139-151, April.
- Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
- Andrew C. Worthington & Helen Higgs, 2003. "Modelling the Intraday Return Volatility Process In The Australian Equity Market: An Examination Of The Role Of Information Arrival In S&P/Asx 50 Stocks," School of Economics and Finance Discussion Papers and Working Papers Series 150, School of Economics and Finance, Queensland University of Technology.
- Joseph K.W. Fung, 2006. "Order Imbalance and the Pricing of Index Futures," Working Papers 132006, Hong Kong Institute for Monetary Research.
- Antonakakis, Nikolaos & Kizys, Renatas & Floros, Christos, 2014. "Dynamic Spillover Effects in Futures Markets," MPRA Paper 53876, University Library of Munich, Germany.
- Shinn-Juh Lin & Jian Yang, 2003.
"Examining intraday returns with buy/sell information,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 13(6), pages 447-461.
- Shinn-Juh Lin & Jian Yang, 2000. "Examining Intraday Returns with Buy/Sell Information," Research Paper Series 38, Quantitative Finance Research Centre, University of Technology, Sydney.
- Joseph K.W. Fung & Philip Yu, 2007. "Order Imbalance and the Dynamics of Index and Futures Prices," Working Papers 072007, Hong Kong Institute for Monetary Research.
- repec:arp:ijefrr:2017:p:157--172 is not listed on IDEAS
- Weaver, Robert D & Natcher, William C, 2000. "Commodity Price Volatility under New Market Orientations," MPRA Paper 9862, University Library of Munich, Germany.
- Shekar Bose, 2001. "Price volatility of south-east fishery's quota species: an empirical analysis," International Economic Journal, Taylor & Francis Journals, vol. 18(3), pages 283-297.
- Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
- Miyakoshi, Tatsuyoshi, 2002. "ARCH versus information-based variances: evidence from the Tokyo Stock Market," Japan and the World Economy, Elsevier, vol. 14(2), pages 215-231, April.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
- Hodgson, Allan & Masih, A. Mansur M. & Masih, Rumi, 2006. "Futures trading volume as a determinant of prices in different momentum phases," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 68-85.
- Kofman, Paul & Martens, Martin, 1997. "Interaction between stock markets: an analysis of the common trading hours at the London and New York stock exchange," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 387-414, June.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jae:japmet:v:8:y:1993:i:1:p:15-30. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www.interscience.wiley.com/jpages/0883-7252/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.