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Information, volatility, volume and maturity: an investigation of stock index futures
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Information, volatility, volume and maturity: an investigation of stock index futures (1991)Information, volatility, volume and matur…Measuring the liquidity part of volume (2014)Measuring the liquidity part …Effect of futures trading on spot‐price volatility: evidence for NSE Nifty using GARCH (2009)Effect of futures trading on …A test of the Samuelson Hypothesis using realized range (2008)A test of the Samuelson Hypot…Expiration-day effect: evidence from high-frequency data in the Hong Kong stock market (2001)Expiration-day effect: eviden…THE EFFECT OF FUTURES TRADING ON SPOT PRICE VOLATILITY: EVIDENCE FOR BRENT CRUDE OIL USING GARCH (1992)THE EFFECT OF FUTURES TRADING…Essays in Positive Economics (1954)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Index futures trading, information and stock market volatility: The case of Greece (2006)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Samuelson Hypothesis and Carry Arbitrage (2012)A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis (2013)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Continuous Auctions and Insider Trading (1985)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Program Trading and Expiration-Day Effects (1987)Does Futures Trading Increase Stock Market Volatility? (1988)Futures-Trading Activity and Stock Price Volatility (1992)Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data (2005)Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)On the relationship between energy returns and trading volume: a multifractal analysis (2019)
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  • 1992THE EFFECT OF FUTURES TRADING ON SPOT PRICE VOLATILITY: EVIDENCE FOR BRENT CRUDE OIL USING GARCH66 cited
  • 2014Measuring the liquidity part of volume33 cited
  • 2008A test of the Samuelson Hypothesis using realized range31 cited
  • 2009Effect of futures trading on spot‐price volatility: evidence for NSE Nifty using GARCH28 cited
  • 2001Expiration-day effect: evidence from high-frequency data in the Hong Kong stock market25 cited

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