Market trader heterogeneity and high frequency volatility dynamics: further evidence from intra-day FTSE-100 futures data

By McMillan David G.   Speight Alan E. H.  

Applied Financial Economics Letters, Vol. 2, Iss. 2, 2006-03 ,pp. : 99-103

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Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures

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Applied Financial Economics, Vol. 13, Iss. 8, 2003-01 ,pp. : 599-607

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Volatility dynamics in high frequency financial data: an empirical investigation of the Australian equity returns

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Applied Financial Economics, Vol. 11, Iss. 3, 2001-06 ,pp. : 341-352

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Volatility and risk estimation with linear and nonlinear methods based on high frequency data

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Applied Financial Economics, Vol. 14, Iss. 10, 2004-06 ,pp. : 717-729

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Stochastic market volatility models

By Le Truc  

Applied Financial Economics Letters, Vol. 1, Iss. 3, 2005-05 ,pp. : 177-188

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