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Volatility, trading volume and open interest in futures markets
16 references·2 citing·30 second hop
Volatility, trading volume and open interest in futures markets (2016)Volatility, trading volume and open inter…GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)GARCH 101: The Use of ARCH/GA…Chapter 49 Arch models (1994)Chapter 49 Arch modelsPrice Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)Price Volatility, Trading Vol…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Futures-Trading Activity and Stock Price Volatility (1992)Futures-Trading Activity and …ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Macroeconomics and Reality (1980)Macroeconomics and RealityA 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…The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis (2019)The economic sources of China…Monte Carlo Simulation for Data Volatility Analysis of Stock Prices in Islamic Finance for Malaysia Composite Index (2019)Monte Carlo Simulation for Da…The Pricing of Options and Corporate Liabilities (1973)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)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)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 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)Econometric Analysis of Cross Section and Panel Data (2001)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1992ARCH modeling in finance4,343 cited
  • 1993A long memory property of stock market returns and a new model3,282 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 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
  • 1986Modelling the persistence of conditional variances2,083 cited
  • 2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics1,279 cited
  • 1994Chapter 49 Arch models892 cited
  • 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*805 cited
  • 1993Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets

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667 cited
  • 1992Futures-Trading Activity and Stock Price Volatility424 cited
  • Cited by

    • 2019The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis17 cited
    • 2019Monte Carlo Simulation for Data Volatility Analysis of Stock Prices in Islamic Finance for Malaysia Composite Index11 cited