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Volatility and trading activity in Short Sterling futures
16 references·0 citing·40 second hop
Volatility and trading activity in Short Sterling futures (2006)Volatility and trading activity in Short …Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Differential Interpretation of Public Signals and Trade in Speculative Markets (1995)Differential Interpretation o…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …Stock Prices and Volume (1992)Stock Prices and VolumeHeteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)DIAGNOSTIC CHECKING ARMA TIME…The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL* (1976)A MODEL OF ASSET TRADING UNDE…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)ARCH modeling in finance (1992)The variation of certain speculative prices (1997)Market structure, information, futures markets, and price formation. (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)The Structure of Scientific Revolutions (1963)A Theory of Intraday Patterns: Volume and Price Variability (1988)Capital markets research in accounting (2001)Overconfidence and Speculative Bubbles (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Forecasting Volatility in Financial Markets: A Review (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The distribution of realized stock return volatility (2001)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)The Analysis of Economic Time-Series-Part I: Prices (1953)The Random Character of Stock Market Prices (1968)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The relationship between return and market value of common stocks (1981)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)Introductory Econometrics for Finance (2008)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,148 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1995Differential Interpretation of Public Signals and Trade in Speculative Markets1,192 cited
  • 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS1,134 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 1994A Model of Competitive Stock Trading Volume

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913 cited
  • 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*805 cited
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