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International trading/nontrading time effects on risk estimation in futures markets
16 references·0 citing·37 second hop
International trading/nontrading time effects on risk estimation in futures markets (1990)International trading/nontrading time eff…Advances in Futures and Options Research (1994)Advances in Futures and Optio…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Potential Biases from Using Only Trade Prices of Related Securities on Different Exchanges: A Comment (1988)Potential Biases from Using O…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …The Weekly Pattern in Stock Index Futures: A Further Note (1986)The Weekly Pattern in Stock I…Stock return variances (1986)Stock return variancesA transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…The Weekly Pattern in Stock Returns: Cash versus Futures: A Note (1985)The Weekly Pattern in Stock R…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…The weekend effect on the distribution of stock prices (1984)The weekend effect on the dis…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Weekend Effects on Stock Returns: A Note (1982)Weekend Effects on Stock Retu…The relationship between volume and price variability in futures markets (1981)The relationship between volu…A Theory of Common Stock Returns Over Trading and Non-Trading Periods (1980)A Theory of Common Stock Retu…The pricing of commodity contracts (1976)The pricing of commodity cont…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Market Liquidity and Trading Activity (2001)Size-related anomalies and stock return seasonality (1983)Introductory Econometrics for Finance (2008)Investor Inattention and Friday Earnings Announcements (2009)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)The Behavior of Stock Prices on Fridays and Mondays (1973)Measuring security price performance (1980)A Theory of Intraday Patterns: Volume and Price Variability (1988)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The Efficient Market Hypothesis and Its Critics (2003)The Analysis of Economic Time-Series-Part I: Prices (1953)Some New Stock-Market Indexes (1966)Risk measurement when shares are subject to infrequent trading (1979)The Relation Between Price Changes and Trading Volume: A Survey (1987)Measuring the Information Content of Stock Trades (1991)Measuring and Testing the Impact of News on Volatility (1993)Foreign Speculators and Emerging Equity Markets (2000)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Chapter 49 Arch models (1994)Modeling and pricing long memory in stock market volatility (1996)Volatility forecast comparison using imperfect volatility proxies (2010)Stock Market Structure and Volatility (1990)Predicting stock market volatility: A new measure (1995)Trade Size and Components of the Bid-Ask Spread (1995)
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References

  • 1976The pricing of commodity contracts2,859 cited
  • 1986Stock return variances1,841 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns937 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks791 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1982Weekend Effects on Stock Returns: A Note460 cited
  • 1994Advances in Futures and Options Research287 cited
  • 1980A Theory of Common Stock Returns Over Trading and Non-Trading Periods146 cited
  • 1981The relationship between volume and price variability in futures markets139 cited
  • 1985The Weekly Pattern in Stock Returns: Cash versus Futures: A Note95 cited
  • 1988Potential Biases from Using Only Trade Prices of Related Securities on Different Exchanges: A Comment62 cited
  • 1984The weekend effect on the distribution of stock prices61 cited

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  • 1986The Weekly Pattern in Stock Index Futures: A Further Note61 cited
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