The intraday multivariate structure of the Eurofutures markets

Author:

Ballocchi Giuseppe,Dacorogna Michel M.,Hopman Carl M.,Müller Ulrich A.,Olsen Richard B.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference19 articles.

1. Intraday periodicity and volatility persistence in financial markets;Andersen;Journal of Empirical Finance,1997

2. Estimation and inference in nonlinear structural models;Berndt;Annals of Economic and Social Measurement,1974

3. Another look at models of the short-term interest rate;Brenner;Journal of Financial and Quantitative Analysis,1996

4. The convexity bias in eurodollar futures: Part 1;Burghardt;Derivatives Quarterly,1995

5. A geographical model for the daily and weekly seasonal volatility in the FX market;Dacorogna;Journal of International Money and Finance,1993

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