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Intraday futures volatility and theories of market behavior

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  • Robert T. Daigler

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  • Robert T. Daigler, 1997. "Intraday futures volatility and theories of market behavior," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(1), pages 45-74, February.
    • Handle: RePEc:wly:jfutmk:v:17:y:1997:i:1:p:45-74
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    Cited by:

    1. Lafuente, Juan A. & Novales, Alfonso, 2003. "Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1053-1078, June.
    2. Jang Hyung Cho & Robert T. Daigler, 2012. "An unbiased autoregressive conditional intraday seasonal variance filtering process," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 231-247, October.
    3. B.B. Chakrabarti & Vivek Rajvanshi, 2017. "Intraday Periodicity and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(1), pages 1-28, April.
    4. Lafuente Luengo, Juan Ángel, 2000. "Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets," DEE - Working Papers. Business Economics. WB 9849, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    5. Tribhuvan N. Puri & George C. Philippatos, 2008. "Asymmetric Volume‐Return Relation and Concentrated Trading in LIFFE Futures," European Financial Management, European Financial Management Association, vol. 14(3), pages 528-563, June.
    6. Miwa, Kotaro, 2019. "Trading hours extension and intraday price behavior," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 572-585.

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