Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures
Year of publication: |
2003
|
---|---|
Authors: | McMillan, David G. ; Speight, Alan E. H. |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 13.2003, 8, p. 599-607
|
Subject: | Index-Futures | Index futures | Volatilität | Volatility | ARCH-Modell | ARCH model | Großbritannien | United Kingdom |
-
McMillan, David G., (2006)
-
McMillan, David G., (2004)
-
Alsheikhmubarak, Abdulilah Ibrahim, (2018)
- More ...
-
How useful is intraday data for evaluating daily value-at-risk? : evidence from three Euro rates
McMillan, David G., (2008)
-
Volatility dynamics and heterogeneous markets
McMillan, David G., (2006)
-
McMillan, David G., (2006)
- More ...