Areal, Nelson M. P. C.; Taylor, Stephen J. - In: Journal of Futures Markets 22 (2002) 7, pp. 627-648
Five‐minute returns from FTSE‐100 index futures contracts are used to obtain accurate estimates of daily index volatility from January 1986 to December 1998. These realized volatility measures are used to obtain inferences about the distributional and autocorrelation properties of FTSE‐100...