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VOLATILITY IN THE FOREIGN-CURRENCY FUTURES MARKET
被引:120
作者
:
HARVEY, CR
论文数:
0
引用数:
0
h-index:
0
机构:
VANDERBILT UNIV,NASHVILLE,TN 37240
VANDERBILT UNIV,NASHVILLE,TN 37240
HARVEY, CR
[
1
]
HUANG, RD
论文数:
0
引用数:
0
h-index:
0
机构:
VANDERBILT UNIV,NASHVILLE,TN 37240
VANDERBILT UNIV,NASHVILLE,TN 37240
HUANG, RD
[
1
]
机构
:
[1]
VANDERBILT UNIV,NASHVILLE,TN 37240
来源
:
REVIEW OF FINANCIAL STUDIES
|
1991年
/ 4卷
/ 03期
关键词
:
D O I
:
10.1093/rfs/4.3.543
中图分类号
:
F8 [财政、金融];
学科分类号
:
0202 ;
摘要
:
引用
收藏
页码:543 / 569
页数:27
相关论文
共 26 条
[1]
A Theory of Intraday Patterns: Volume and Price Variability
Admati, Anat R.
论文数:
0
引用数:
0
h-index:
0
机构:
Stanford Univ, Stanford, CA 94305 USA
Stanford Univ, Stanford, CA 94305 USA
Admati, Anat R.
Pfleiderer, Paul
论文数:
0
引用数:
0
h-index:
0
机构:
Stanford Univ, Stanford, CA 94305 USA
Stanford Univ, Stanford, CA 94305 USA
Pfleiderer, Paul
[J].
REVIEW OF FINANCIAL STUDIES,
1988,
1
(01)
: 3
-
40
[2]
BAILLIE RT, 1989, INTRADAY INTERMARKET
[3]
PRIVATE INFORMATION, TRADING VOLUME, AND STOCK-RETURN VARIANCES
BARCLAY, MJ
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV ROCHESTER,BUSINESS ADM,ROCHESTER,NY 14627
BARCLAY, MJ
LITZENBERGER, RH
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV ROCHESTER,BUSINESS ADM,ROCHESTER,NY 14627
LITZENBERGER, RH
WARNER, JB
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV ROCHESTER,BUSINESS ADM,ROCHESTER,NY 14627
WARNER, JB
[J].
REVIEW OF FINANCIAL STUDIES,
1990,
3
(02)
: 233
-
253
[4]
BIASES IN COMPUTED RETURNS - AN APPLICATION TO THE SIZE EFFECT
BLUME, ME
论文数:
0
引用数:
0
h-index:
0
BLUME, ME
STAMBAUGH, RF
论文数:
0
引用数:
0
h-index:
0
STAMBAUGH, RF
[J].
JOURNAL OF FINANCIAL ECONOMICS,
1983,
12
(03)
: 387
-
404
[5]
MULTIMARKET TRADING AND MARKET LIQUIDITY
CHOWDHRY, B
论文数:
0
引用数:
0
h-index:
0
CHOWDHRY, B
NANDA, V
论文数:
0
引用数:
0
h-index:
0
NANDA, V
[J].
REVIEW OF FINANCIAL STUDIES,
1991,
4
(03)
: 483
-
511
[6]
FORWARD AND FUTURES PRICES - EVIDENCE FROM THE FOREIGN-EXCHANGE MARKETS
CORNELL, B
论文数:
0
引用数:
0
h-index:
0
CORNELL, B
REINGANUM, MR
论文数:
0
引用数:
0
h-index:
0
REINGANUM, MR
[J].
JOURNAL OF FINANCE,
1981,
36
(05)
: 1035
-
1045
[7]
ESTIMATING MODELS WITH INTERTEMPORAL SUBSTITUTION USING AGGREGATE TIME-SERIES DATA
EICHENBAUM, M
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,DEPT ECON,CHICAGO,IL 60637
UNIV CHICAGO,DEPT ECON,CHICAGO,IL 60637
EICHENBAUM, M
HANSEN, LP
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,DEPT ECON,CHICAGO,IL 60637
UNIV CHICAGO,DEPT ECON,CHICAGO,IL 60637
HANSEN, LP
[J].
JOURNAL OF BUSINESS & ECONOMIC STATISTICS,
1990,
8
(01)
: 53
-
69
[8]
A TIME-SERIES ANALYSIS OF REPRESENTATIVE AGENT MODELS OF CONSUMPTION AND LEISURE CHOICE UNDER UNCERTAINTY
EICHENBAUM, MS
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
EICHENBAUM, MS
HANSEN, LP
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
HANSEN, LP
SINGLETON, KJ
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
SINGLETON, KJ
[J].
QUARTERLY JOURNAL OF ECONOMICS,
1988,
103
(01)
: 51
-
78
[9]
*FED RES BANK NY, 1989, SUMM RES US FOR EXCH
[10]
A THEORY OF THE INTERDAY VARIATIONS IN VOLUME, VARIANCE, AND TRADING COSTS IN SECURITIES MARKETS
FOSTER, FD
论文数:
0
引用数:
0
h-index:
0
FOSTER, FD
VISWANATHAN, S
论文数:
0
引用数:
0
h-index:
0
VISWANATHAN, S
[J].
REVIEW OF FINANCIAL STUDIES,
1990,
3
(04)
: 593
-
624
←
1
2
3
→
共 26 条
[1]
A Theory of Intraday Patterns: Volume and Price Variability
Admati, Anat R.
论文数:
0
引用数:
0
h-index:
0
机构:
Stanford Univ, Stanford, CA 94305 USA
Stanford Univ, Stanford, CA 94305 USA
Admati, Anat R.
Pfleiderer, Paul
论文数:
0
引用数:
0
h-index:
0
机构:
Stanford Univ, Stanford, CA 94305 USA
Stanford Univ, Stanford, CA 94305 USA
Pfleiderer, Paul
[J].
REVIEW OF FINANCIAL STUDIES,
1988,
1
(01)
: 3
-
40
[2]
BAILLIE RT, 1989, INTRADAY INTERMARKET
[3]
PRIVATE INFORMATION, TRADING VOLUME, AND STOCK-RETURN VARIANCES
BARCLAY, MJ
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV ROCHESTER,BUSINESS ADM,ROCHESTER,NY 14627
BARCLAY, MJ
LITZENBERGER, RH
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV ROCHESTER,BUSINESS ADM,ROCHESTER,NY 14627
LITZENBERGER, RH
WARNER, JB
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV ROCHESTER,BUSINESS ADM,ROCHESTER,NY 14627
WARNER, JB
[J].
REVIEW OF FINANCIAL STUDIES,
1990,
3
(02)
: 233
-
253
[4]
BIASES IN COMPUTED RETURNS - AN APPLICATION TO THE SIZE EFFECT
BLUME, ME
论文数:
0
引用数:
0
h-index:
0
BLUME, ME
STAMBAUGH, RF
论文数:
0
引用数:
0
h-index:
0
STAMBAUGH, RF
[J].
JOURNAL OF FINANCIAL ECONOMICS,
1983,
12
(03)
: 387
-
404
[5]
MULTIMARKET TRADING AND MARKET LIQUIDITY
CHOWDHRY, B
论文数:
0
引用数:
0
h-index:
0
CHOWDHRY, B
NANDA, V
论文数:
0
引用数:
0
h-index:
0
NANDA, V
[J].
REVIEW OF FINANCIAL STUDIES,
1991,
4
(03)
: 483
-
511
[6]
FORWARD AND FUTURES PRICES - EVIDENCE FROM THE FOREIGN-EXCHANGE MARKETS
CORNELL, B
论文数:
0
引用数:
0
h-index:
0
CORNELL, B
REINGANUM, MR
论文数:
0
引用数:
0
h-index:
0
REINGANUM, MR
[J].
JOURNAL OF FINANCE,
1981,
36
(05)
: 1035
-
1045
[7]
ESTIMATING MODELS WITH INTERTEMPORAL SUBSTITUTION USING AGGREGATE TIME-SERIES DATA
EICHENBAUM, M
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,DEPT ECON,CHICAGO,IL 60637
UNIV CHICAGO,DEPT ECON,CHICAGO,IL 60637
EICHENBAUM, M
HANSEN, LP
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,DEPT ECON,CHICAGO,IL 60637
UNIV CHICAGO,DEPT ECON,CHICAGO,IL 60637
HANSEN, LP
[J].
JOURNAL OF BUSINESS & ECONOMIC STATISTICS,
1990,
8
(01)
: 53
-
69
[8]
A TIME-SERIES ANALYSIS OF REPRESENTATIVE AGENT MODELS OF CONSUMPTION AND LEISURE CHOICE UNDER UNCERTAINTY
EICHENBAUM, MS
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
EICHENBAUM, MS
HANSEN, LP
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
HANSEN, LP
SINGLETON, KJ
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
SINGLETON, KJ
[J].
QUARTERLY JOURNAL OF ECONOMICS,
1988,
103
(01)
: 51
-
78
[9]
*FED RES BANK NY, 1989, SUMM RES US FOR EXCH
[10]
A THEORY OF THE INTERDAY VARIATIONS IN VOLUME, VARIANCE, AND TRADING COSTS IN SECURITIES MARKETS
FOSTER, FD
论文数:
0
引用数:
0
h-index:
0
FOSTER, FD
VISWANATHAN, S
论文数:
0
引用数:
0
h-index:
0
VISWANATHAN, S
[J].
REVIEW OF FINANCIAL STUDIES,
1990,
3
(04)
: 593
-
624
←
1
2
3
→