Locke, P R; Sayers, C L - In: Journal of Applied Econometrics 8 (1993) 1, pp. 15-30
This paper examines the role of the rate of information arrival proxy variables, as they relate to persistence in the variance structure of minute-by-minute S&P 500 Index Futures returns series. The role of contract volume, floor transactions, the number of price changes, executed order...