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A test of the Samuelson Hypothesis using realized range
13 references·1 citing·43 second hop
A test of the Samuelson Hypothesis using realized range (2008)A test of the Samuelson Hypothesis using …Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…Measuring volatility with the realized range (2006)Measuring volatility with the…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The realized volatility of FTSE‐100 futures prices (2002)The realized volatility of FT…Volatility and maturity effects in the Nikkei index futures (1999)Volatility and maturity effec…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Is There a Term Structure of Futures Volatilities? Reevaluating the Samuelson Hypothesis (1996)Is There a Term Structure of …Futures prices and the maturity effect (1996)Futures prices and the maturi…Information, volatility, volume and maturity: an investigation of stock index futures (1991)Information, volatility, volu…Price variability and the maturity effect in futures markets (1986)Price variability and the mat…Futures Price Variability: A Test of Maturity and Volume Effects (1986)Futures Price Variability: A …The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …A Note on the Variability of Futures Prices (1976)A Note on the Variability of …A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis (2013)A Jump Diffusion Model for Ag…MONEY, INCOME, AND CAUSALITY (1972)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A GARCH examination of the relationship between volume and price variability in futures markets (1991)Volume‐volatility relationships for crude oil futures markets (1995)Trading Volume and Market Volatility: Developed versus Emerging Stock Markets (2007)Information, futures prices, and stabilizing speculation (1978)Hedging and the Competitive Firm under Price Uncertainty (1979)Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos? (1993)Volatility in Wheat Spot and Futures Markets, 1950-1993: Government Farm Programs, Seasonality, and Causality (1996)Price spread and convenience yield behaviour in the international oil market (2001)The Analysis of Economic Time-Series-Part I: Prices (1953)COMMODITY FUTURES: TRENDS OR RANDOM WALKS? (1970)Conjectured Models for Trends in Financial Prices, Tests and Forecasts (1980)Factors affecting agricultural futures price variance (1987)Variability in soybean futures prices: An integrated framework (1992)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Comparing Predictive Accuracy (1994)Realized range-based estimation of integrated variance (2006)Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries (2012)Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak (2022)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Some determinants of the volatility of futures prices (1985)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Chaos in oil prices? Evidence from futures markets (2001)Fundamentals, Derivatives Market Information and Oil Price Volatility (2014)Factor Structure in Commodity Futures Return and Volatility (2018)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)The distribution of realized stock return volatility (2001)Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? (2008)Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics (2013)Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets (2015)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
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References

  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2006Measuring volatility with the realized range326 cited
  • 1986Futures Price Variability: A Test of Maturity and Volume Effects191 cited
  • 2002The realized volatility of FTSE‐100 futures prices156 cited
  • 1986Price variability and the maturity effect in futures markets134 cited
  • 1996Is There a Term Structure of Futures Volatilities? Reevaluating the Samuelson Hypothesis94 cited
  • 1976A Note on the Variability of Futures Prices87 cited
  • 1996Futures prices and the maturity effect69 cited
  • 1999Volatility and maturity effects in the Nikkei index futures53 cited
  • 1991Information, volatility, volume and maturity: an investigation of stock index futures40 cited

Cited by

  • 2013A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis26 cited

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