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A bivariate generalized autoregressive conditional heteroscedasticity‐in‐mean study of the relationship between return variability and trading volume in international futures markets

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  • Michael Jacobs Jr.
  • Joseph Onochie

Abstract

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  • Michael Jacobs Jr. & Joseph Onochie, 1998. "A bivariate generalized autoregressive conditional heteroscedasticity‐in‐mean study of the relationship between return variability and trading volume in international futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(4), pages 379-397, June.
    • Handle: RePEc:wly:jfutmk:v:18:y:1998:i:4:p:379-397
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    Cited by:

    1. Röthig, Andreas, 2004. "Currency futures and currency crises," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 4022, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    2. Chuang, Wen-I & Liu, Hsiang-Hsi & Susmel, Rauli, 2012. "The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility," Global Finance Journal, Elsevier, vol. 23(1), pages 1-15.
    3. Ashish Kumar, 2015. "Impact of Currency Futures on Volatility in Exchange Rate," Paradigm, , vol. 19(1), pages 95-108, June.
    4. Röthig, Andreas, 2004. "Currency Futures and Currency Crises," Darmstadt Discussion Papers in Economics 136, Darmstadt University of Technology, Department of Law and Economics.
    5. David McMillan & Alan Speight, 2002. "Return-volume dynamics in UK futures," Applied Financial Economics, Taylor & Francis Journals, vol. 12(10), pages 707-713.
    6. Kate Phylaktis & Antonis Aristidou, 2013. "Margin Changes and Futures Trading Activity: a New Approach," European Financial Management, European Financial Management Association, vol. 19(1), pages 45-71, January.
    7. Kirt C. Butler & Katsushi Okada, 2008. "Higher-Order Terms in Bivariate Returns to International Stock Market Indices," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 127-155, March-Jun.

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