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Heterogeneous information flows and intra-day volatility dynamics : evidence from the UK FTSE-100 stock index futures market

McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 16 (2006) 13, pp. 959-972

Persistent link: https://www.econbiz.de/10003377850

Return-volume dynamics in UK futures

McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 12 (2002) 10, pp. 707-713

Persistent link: https://www.econbiz.de/10001702508

A fractionally integrated exponential model for UK uneomployment

Gil-Alaña, Luis A. - In: Journal of forecasting 20 (2001) 5, pp. 329-340

Persistent link: https://www.econbiz.de/10001611315

Unit and fractional roots with deterministic trends in the UK output

Gil-Alaña, Luis A. - In: International advances in economic research : IAER ; an … 8 (2002) 4, pp. 348-356

Persistent link: https://www.econbiz.de/10001763169

Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility

McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 14 (2004) 4, pp. 253-263

Persistent link: https://www.econbiz.de/10001939280

The intraday relationship between volume and volatility in LIFFE futures markets

Ap Gwilym, Owain; McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 9 (1999) 6, pp. 593-604

Persistent link: https://www.econbiz.de/10001525288

Forecasting UK stock market volatility

McMillan, David G.; Speight, Alan E. H.; Ap Gwilym, Owain - In: Applied financial economics 10 (2000) 4, pp. 435-448

Persistent link: https://www.econbiz.de/10001526630

Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures

McMillan, David G.; Speight, Alan E. H. - In: Applied financial economics 13 (2003) 8, pp. 599-607

Persistent link: https://www.econbiz.de/10001770840

Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Empirica : journal of european economics 35 (2008) 3, pp. 241-253

Persistent link: https://www.econbiz.de/10003726470

The stock market and the Fed

Mattesini, Fabrizio; Becchetti, Leonardo - In: Applied financial economics 19 (2009) 1/3, pp. 99-110

This article investigates the reaction of the Federal Reserve to developments in the stock market. The issue is analysed by first constructing an Index of Stock Price Misalignment (ISPM) in which the fundamental value of the stocks is computed on the basis of the discounted cash flow approach...

Persistent link: https://www.econbiz.de/10003825824