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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
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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
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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
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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
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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
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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
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Testing for stock market bubbles using nonlinear models and fractional integration
Cuñado Eizaguirre, Juncal; Gil-Alaña, Luis A.; Perez … - In: Applied financial economics 17 (2007) 16/18, pp. 1313-1321
Persistent link: https://www.econbiz.de/10003605836
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics 21 (2011) 22/24, pp. 1757-1764
Persistent link: https://www.econbiz.de/10009384839
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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
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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