Trading collar, intraday periodicity and stock market volatility

Applied Financial Economics

Volumn 14, Issue 13, 2004, Pages 909-913

  Aradhyula, Satheesh V ^a   Ergün, A Tolga ^a  

^a UNIVERSITY OF ARIZONA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL MARKET; PERIODICITY; STOCK MARKET;

NORTH AMERICA; UNITED STATES;

EID: 4544325139     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100410001673072     Document Type: Article

References (9)

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3. Aydemir, A. B. (1998) Volatility modelling in finance, in Forecasting Volatility in the Financial Markets (Eds) J. Knight and S. Satchell, Butterworth Heinemann, London, pp. 1-46.
4. Baillie, R. T. and Bollerslev, T. (1990) Intraday and inter market volatility in foreign exchange rates, Review of Economic Studies, 58, 565-85.
5. Bollerslev, T. (2001) Financial econometrics: past developments and future challenges, Journal of Econometrics, 100, 41-51.
6. Diebold, F. and Lopez, J. A. (1995) Modelling volatility dynamics, in Macroeconometrics: Developments, Tensions and Prospects (Ed.) K. Hoover, Kluwer Academic Publishers, Boston, pp. 427-66.
7. Ederington, L. and Lee, J. H. (2001) Intraday volatility in interest-rate and foreign-exchange markets: ARCH, announcement, and seasonality effects, Journal of Futures Markets, 21, 517-52.
8. Martens, M. (2001) Forecasting daily exchange rate volatility using intraday returns, Journal of International Money and Finance, 20, 1-23.
9. Murphy, K. M. and Topel, R. H. (1985) Estimation and inference in two-step econometric models, Journal of Business and Economic Statistics, 3, 370-9.