Is Trading Imbalance a Better Explanatory Factor in the Volatility Process? Intraday and Daily Evidence from E-mini S&P 500 Index Futures and Information-Based Hypotheses
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More about this item
KeywordsFutures markets; price volatility; trading imbalance; number and volume of trades; asymmetric information; difference in opinion; mixture of distributions; GARCH and persistence effect.;
- G1 - Financial Economics - - General Financial Markets
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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