The realized volatility of FTSE‐100 futures prices
- 3 May 2002
- journal article
- research article
- Published by Wiley in Journal of Futures Markets
- Vol. 22 (7) , 627-648
- https://doi.org/10.1002/fut.10018
Abstract
No abstract availableKeywords
This publication has 14 references indexed in Scilit:
- The distribution of realized stock return volatilityPublished by Elsevier ,2001
- The Distribution of Realized Exchange Rate VolatilityJournal of the American Statistical Association, 2001
- Intraday periodicity and volatility persistence in financial marketsPublished by Elsevier ,1998
- The detection and estimation of long memory in stochastic volatilityJournal of Econometrics, 1998
- The incremental volatility information in one million foreign exchange quotationsJournal of Empirical Finance, 1997
- Long memory processes and fractional integration in econometricsJournal of Econometrics, 1996
- How Markets Process Information: News Releases and VolatilityThe Journal of Finance, 1993
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELSJournal of Time Series Analysis, 1983
- The Price Variability-Volume Relationship on Speculative MarketsEconometrica, 1983
- A Subordinated Stochastic Process Model with Finite Variance for Speculative PricesEconometrica, 1973