Futures Market Volatility: What Has Changed?-Reference-Cited by-同舟云学术

Futures Market Volatility: What Has Changed?

Published:2014-03-12 Issue:5 Volume:35 Page:426-454
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Bollen Nicolas P.B.¹,Whaley Robert E.²

Affiliation:

1. Nicolas P.B. Bollen is the E. Bronson Ingram Professor of Finance, Owen Graduate School of Management; Vanderbilt University; Nashville Tennessee

2. Robert E. Whaley is the Valere Blair Potter Professor of Finance and Director, Financial Markets Research Center, Owen Graduate School of Management; Vanderbilt University; Nashville Tennessee

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21666/fullpdf

Reference37 articles.

1. A theory of intraday patterns: Volume and price variability;Admati;Review of Financial Studies,1988

2. Return volatility and trading volume: An information flow interpretation of stochastic volatility;Andersen;Journal of Finance,1996

3. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001

4. The distribution of realized exchange rate volatility;Andersen;Journal of the American Statistical Association,2001

5. The degree of price resolution: The case of the gold market;Ball;Journal of Futures Markets,1985

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