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Volumn 12, Issue 10, 2002, Pages 707-713

Return-volume dynamics in UK futures

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL MARKET; INVESTMENT;

EID: 0036795505     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100110039773     Document Type: Article
Times cited : (16)

References (36)
  • 7
    • 0000346734 scopus 로고
    • A subordinate stochastic process model with finite variance for speculative prices
    • (1973) Econometrica , vol.41 , pp. 135-155
    • Clark, P.K.1
  • 10
    • 0000756720 scopus 로고
    • The stochastic dependence of security price changes and transaction volumes: Implications for the mixture of distributions hypothesis
    • (1976) Econometrica , vol.44 , pp. 305-325
    • Epps, T.W.1    Epps, M.L.2
  • 14
    • 0000351727 scopus 로고
    • Investigating causal relations by econometric models and cross-spectral methods
    • (1969) Econometrica , vol.37 , pp. 424-438
    • Granger, C.1
  • 19
    • 0032370246 scopus 로고    scopus 로고
    • A bivariate generalised autoregressive conditional heteroscedasticity-in-mean study of the relationship between return variability and trading volume in international futures markets
    • (1998) Journal of Futures Markets , vol.18 , pp. 379-397
    • Jacobs, M.1    Onochie, J.2
  • 29
    • 0000706085 scopus 로고
    • A simple positive semi-definite heteroscedasticity and autocorrelation consistent covariance matrix
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.