메뉴 건너뛰기




Volumn 8, Issue 1, 2002, Pages 70-92

Temporal aggregation, volatility components and volume in high frequency UK bond futures

Author keywords

Component Model; Conditional Variance; Futures Markets; Intra; Temporal Aggregation

Indexed keywords


EID: 24944515915     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470110073676     Document Type: Article
Times cited : (6)

References (51)
  • 1
    • 0031161196 scopus 로고    scopus 로고
    • Intraday seasonality and volatility persistence in financial markets
    • Andersen, T. G., and Bollerslev, T., 1997a. Intraday seasonality and volatility persistence in financial markets. Journal of Empirical Finance, 2-3: 115–158.
    • (1997) Journal of Empirical Finance , vol.2-3 , pp. 115-158
    • Andersen, T.G.1    Bollerslev, T.2
  • 2
    • 0040747426 scopus 로고    scopus 로고
    • Heterogeneous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns
    • Andersen, T. G., and Bollerslev, T., 1997b. Heterogeneous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns. Journal of Finance, 52: 975–1005.
    • (1997) Journal of Finance , vol.52 , pp. 975-1005
    • Andersen, T.G.1    Bollerslev, T.2
  • 3
    • 84993867944 scopus 로고
    • ARCH models: properties, estimation and testing
    • Bera, A. K., and Higgins, M. L., 1993. ARCH models: properties, estimation and testing. Journal of Economic Surveys, 1: 305–362.
    • (1993) Journal of Economic Surveys , vol.1 , pp. 305-362
    • Bera, A.K.1    Higgins, M.L.2
  • 4
    • 84993888588 scopus 로고
    • Futures trading activity and stock price volatility
    • Bessembinder, R., and Seguin, P. J., 1992. Futures trading activity and stock price volatility. Journal of Finance, 47: 2015–2034.
    • (1992) Journal of Finance , vol.47 , pp. 2015-2034
    • Bessembinder, R.1    Seguin, P.J.2
  • 5
    • 84971844636 scopus 로고
    • Price volatility, trading volume, and market depth: evidence from futures markets
    • Bessembinder, H., and Seguin, P. J., 1993. Price volatility, trading volume, and market depth: evidence from futures markets. Journal of Financial and Quantitative Analysis, 28: 21–39.
    • (1993) Journal of Financial and Quantitative Analysis , vol.28 , pp. 21-39
    • Bessembinder, H.1    Seguin, P.J.2
  • 6
    • 49149136203 scopus 로고
    • Anew approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle
    • Beveridge, S., and Nelson, C. R., 1981. Anew approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle. Journal of Monetary Economics, 7: 151–174.
    • (1981) Journal of Monetary Economics , vol.7 , pp. 151-174
    • Beveridge, S.1    Nelson, C.R.2
  • 7
    • 42449156579 scopus 로고
    • Generalised autoregressive heteroscedasticity
    • Bollerslev, T., 1986. Generalised autoregressive heteroscedasticity. Journal of Econometrics, 31: 307–327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 9
    • 70350121603 scopus 로고
    • ARCH models
    • Engle R.F., McFadden D.L., (eds), Amsterdam: Elsevier Science Publisher B V, and,. Edited by
    • Bollerslev, T., Engle, R. F., and Nelson, D. B., 1994. “ ARCH models ”. In Handbook of Econometrics, Edited by: Engle, R. F., and McFadden, D. L., Vol. IV, Amsterdam: Elsevier Science Publisher B V.
    • (1994) Handbook of Econometrics , vol.4
    • Bollerslev, T.1    Engle, R.F.2    Nelson, D.B.3
  • 10
    • 70349218800 scopus 로고
    • Quasi maximum likelihood estimation and inference in dynamic models with time varying covariances
    • Bollerslev, T., and Wooldridge, J. M., 1992. Quasi maximum likelihood estimation and inference in dynamic models with time varying covariances. Econometric Reviews, 11: 143–172.
    • (1992) Econometric Reviews , vol.11 , pp. 143-172
    • Bollerslev, T.1    Wooldridge, J.M.2
  • 13
    • 0000346734 scopus 로고
    • A subordinate stochastic process model with finite variance for speculative prices
    • Clark, P. K., 1973. A subordinate stochastic process model with finite variance for speculative prices. Econometrica, 41: 135–155.
    • (1973) Econometrica , vol.41 , pp. 135-155
    • Clark, P.K.1
  • 14
    • 84944838354 scopus 로고
    • A model of asset trading under the assumption of sequential information arrival
    • Copeland, T. E., 1976. A model of asset trading under the assumption of sequential information arrival. Journal of Finance, 31: 1149–1168.
    • (1976) Journal of Finance , vol.31 , pp. 1149-1168
    • Copeland, T.E.1
  • 16
    • 84963463704 scopus 로고
    • Modelling the persistence of conditional variances: a comment
    • Diebold, F. X., 1986. Modelling the persistence of conditional variances: a comment. Econometric Reviews, 5: 51–56.
    • (1986) Econometric Reviews , vol.5 , pp. 51-56
    • Diebold, F.X.1
  • 17
    • 0001413618 scopus 로고
    • Temporal aggregation of GARCH processes
    • Drost, F. C., and Nijman, T. E., 1993. Temporal aggregation of GARCH processes. Econometrica, 61: 909–927.
    • (1993) Econometrica , vol.61 , pp. 909-927
    • Drost, F.C.1    Nijman, T.E.2
  • 18
    • 0000013567 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
    • Engle, R. F., 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50: 987–1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 19
    • 84963146757 scopus 로고
    • Modelling the persistence of conditional variances
    • Engle, R. F., and Bollerslev, T., 1986. Modelling the persistence of conditional variances. Econometric Reviews, 5: 1–87.
    • (1986) Econometric Reviews , vol.5 , pp. 1-87
    • Engle, R.F.1    Bollerslev, T.2
  • 21
    • 0000756720 scopus 로고
    • The stochastic dependence of security price changes and transaction volumes: implications for the mixture of distributions hypothesis
    • Epps, T. W., and Epps, M. L., 1976. The stochastic dependence of security price changes and transaction volumes: implications for the mixture of distributions hypothesis. Econometrica, 44: 305–325.
    • (1976) Econometrica , vol.44 , pp. 305-325
    • Epps, T.W.1    Epps, M.L.2
  • 22
    • 84978554960 scopus 로고
    • Volume-volatility relationships for crude oil futures markets
    • Foster, A. J., 1995. Volume-volatility relationships for crude oil futures markets. Journal of Futures Markets, 15: 929–951.
    • (1995) Journal of Futures Markets , vol.15 , pp. 929-951
    • Foster, A.J.1
  • 23
    • 0001237594 scopus 로고
    • Maximisation by quadratic hillclimbing
    • Goldfeld, S. M., Quandt, R. E., and Trotter, H. E., 1966. Maximisation by quadratic hillclimbing. Econometrica, 34: 541–551.
    • (1966) Econometrica , vol.34 , pp. 541-551
    • Goldfeld, S.M.1    Quandt, R.E.2    Trotter, H.E.3
  • 24
    • 0031161691 scopus 로고    scopus 로고
    • High frequency data in financial markets: issues and applications
    • Goodhart, C. A. E., and O'Hara, M., 1997. High frequency data in financial markets: issues and applications. Journal of Empirical Finance, 4: 73–114.
    • (1997) Journal of Empirical Finance , vol.4 , pp. 73-114
    • Goodhart, C.A.E.1    O'Hara, M.2
  • 25
    • 40749093037 scopus 로고
    • Measuring the strangeness of strange attractors
    • Grassberger, P., and Procaccia, I., 1983. Measuring the strangeness of strange attractors. Physica D, 9: 189–208.
    • (1983) Physica D , vol.9 , pp. 189-208
    • Grassberger, P.1    Procaccia, I.2
  • 27
    • 38149146132 scopus 로고
    • Pricing of permanent and transitory volatility for U.S. stock returns: a composite GARCH model
    • den Hertog, R. G. J., 1994. Pricing of permanent and transitory volatility for U.S. stock returns: a composite GARCH model. Economics Letters, 44: 421–426.
    • (1994) Economics Letters , vol.44 , pp. 421-426
    • den Hertog, R.G.J.1
  • 28
    • 84993869057 scopus 로고
    • Testing for linear and nonlinear Granger causality in the stock price-volume relationship
    • Hiemstra, C., and Jones, J. D., 1994. Testing for linear and nonlinear Granger causality in the stock price-volume relationship. Journal of Finance, 49: 1639–1664.
    • (1994) Journal of Finance , vol.49 , pp. 1639-1664
    • Hiemstra, C.1    Jones, J.D.2
  • 29
    • 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
    • Jacobs, M., and Onochie, J., 1998. A bivariate generalised autoregressive conditional heteroscedasticity-in-mean study of the relationship between return variability and trading volume in international futures markets. Journal of Futures Markets, 18: 379–397.
    • (1998) Journal of Futures Markets , vol.18 , pp. 379-397
    • Jacobs, M.1    Onochie, J.2
  • 30
    • 84977337090 scopus 로고
    • An equilibrium model of asset trading with sequential information arrival
    • Jenning, R., Starks, L., and Fellingham, J. C., 1981. An equilibrium model of asset trading with sequential information arrival. Journal of Finance, 36: 143–161.
    • (1981) Journal of Finance , vol.36 , pp. 143-161
    • Jenning, R.1    Starks, L.2    Fellingham, J.C.3
  • 32
    • 84919214538 scopus 로고
    • The relationship between price changes and trading volume: a survey
    • Karpoff, J. M., 1987. The relationship between price changes and trading volume: a survey. Journal of Financial and Quantitative Analysis, 22: 109–126.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 109-126
    • Karpoff, J.M.1
  • 34
    • 84977718808 scopus 로고
    • Heteroscedasticity in stock return data: volume versus GARCH effects
    • Lamoureux, C. G., and Lastrapes, W. D., 1990b. Heteroscedasticity in stock return data: volume versus GARCH effects. Journal of Finance, 45: 221–229.
    • (1990) Journal of Finance , vol.45 , pp. 221-229
    • Lamoureux, C.G.1    Lastrapes, W.D.2
  • 39
    • 84978549454 scopus 로고
    • A GARCH examination of the relationship between volume and price variability in futures markets
    • Najand, M., and Yung, K., 1991. A GARCH examination of the relationship between volume and price variability in futures markets. Journal of Futures Markets, 11: 613–621.
    • (1991) Journal of Futures Markets , vol.11 , pp. 613-621
    • Najand, M.1    Yung, K.2
  • 40
    • 84972091517 scopus 로고
    • Stationarity and persistence in the GARCH(1,1) model
    • Nelson, D. B., 1990. Stationarity and persistence in the GARCH(1,1) model. Econometric Theory, 6: 318–334.
    • (1990) Econometric Theory , vol.6 , pp. 318-334
    • Nelson, D.B.1
  • 41
    • 0000641348 scopus 로고
    • Conditional heteroscedasticity in asset returns: a new approach
    • Nelson, D. B., 1991. Conditional heteroscedasticity in asset returns: a new approach. Econometrica, 59: 347–370.
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.B.1
  • 45
    • 84944043652 scopus 로고
    • A simple implicit measure of the effective bid—ask sprerad in an efficient market
    • Roll, R., 1984. A simple implicit measure of the effective bid—ask sprerad in an efficient market. Journal of Finance, 39: 1127–1139.
    • (1984) Journal of Finance , vol.39 , pp. 1127-1139
    • Roll, R.1
  • 46
    • 0000120766 scopus 로고
    • Estimating the dimension of a model
    • Schwarz, G., 1978. Estimating the dimension of a model. Annals of Statistics, 4: 461–464.
    • (1978) Annals of Statistics , vol.4 , pp. 461-464
    • Schwarz, G.1
  • 48
    • 0001025583 scopus 로고    scopus 로고
    • Heteroscedasticity in stock market indicator returns data: volume versus GARCH effects
    • Sharma, J. L., Mougoue, M., and Kamath, R., 1996. Heteroscedasticity in stock market indicator returns data: volume versus GARCH effects. Applied Financial Economics, 6: 337–342.
    • (1996) Applied Financial Economics , vol.6 , pp. 337-342
    • Sharma, J.L.1    Mougoue, M.2    Kamath, R.3
  • 49
    • 24944462048 scopus 로고
    • Asymptotic theory for ARCH models: estimation and testing
    • Weiss, A. A., 1986. Asymptotic theory for ARCH models: estimation and testing. Econometric Theory, 2: 107–131.
    • (1986) Econometric Theory , vol.2 , pp. 107-131
    • Weiss, A.A.1
  • 51
    • 84972113785 scopus 로고
    • A unified approach to robust, regression-based specification tests
    • Wooldridge, J. M., 1990. A unified approach to robust, regression-based specification tests. Econometric Theory, 6: 17–43.
    • (1990) Econometric Theory , vol.6 , pp. 17-43
    • Wooldridge, J.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.