Heterogeneous information flows and intra-day volatility dynamics: evidence from the UK FTSE-100 stock index futures market

By McMillan David G.   Speight Alan E. H.  

Applied Financial Economics, Vol. 16, Iss. 13, 2006-09 ,pp. : 959-972

Routledge Ltd

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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

Routledge Ltd

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Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?

By Brooks Chris   Garrett Ian  

Applied Financial Economics, Vol. 12, Iss. 1, 2002-01 ,pp. : 25-31

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The hedging effectiveness of stock index futures: evidence for the FTSE-100 and FTSE-mid250 indexes traded in the UK

By Butterworth Darren   Holmes Phil  

Applied Financial Economics, Vol. 11, Iss. 1, 2001-02 ,pp. : 57-68

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Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility

By McMillan David G.   Speight Alan E. H.  

Applied Financial Economics, Vol. 14, Iss. 4, 2004-01 ,pp. : 253-263

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