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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

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

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

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

Macroeconomic news effects on conditional volatilities in the bond and stock markets

Arshanapalli, Bala Gangadhar; D'Ouville, Edmond L.; … - In: Applied financial economics 16 (2006) 5, pp. 377-384

Persistent link: https://www.econbiz.de/10003289274

The relationship between the S&P 500 spot and futures indices : brothers or cousins?

Chiu, Chien-liang; Chiang, Shu-mei; Kao, Feng - In: Applied financial economics 16 (2006) 5, pp. 405-412

Persistent link: https://www.econbiz.de/10003289287

Hedging with zero-value at risk hedge ratio

Hung, Jui-cheng; Chiu, Chien-liang; Lee, Mingchih - In: Applied financial economics 16 (2006) 3, pp. 259-269

Persistent link: https://www.econbiz.de/10003291892

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