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VOLUME-VOLATILITY RELATIONSHIPS FOR CRUDE-OIL FUTURES MARKETS
被引:77
作者
:
FOSTER, AJ
论文数:
0
引用数:
0
h-index:
0
FOSTER, AJ
机构
:
来源
:
JOURNAL OF FUTURES MARKETS
|
1995年
/ 15卷
/ 08期
关键词
:
D O I
:
10.1002/fut.3990150805
中图分类号
:
F8 [财政、金融];
学科分类号
:
0202 ;
摘要
:
[No abstract available]
引用
收藏
页码:929 / 951
页数:23
相关论文
共 15 条
[1]
MARKET STATISTICS AND TECHNICAL ANALYSIS - THE ROLE OF VOLUME
BLUME, L
论文数:
0
引用数:
0
h-index:
0
机构:
CORNELL UNIV,JOHNSON GRAD SCH MANAGEMENT,ITHACA,NY 14853
CORNELL UNIV,JOHNSON GRAD SCH MANAGEMENT,ITHACA,NY 14853
BLUME, L
EASLEY, D
论文数:
0
引用数:
0
h-index:
0
机构:
CORNELL UNIV,JOHNSON GRAD SCH MANAGEMENT,ITHACA,NY 14853
CORNELL UNIV,JOHNSON GRAD SCH MANAGEMENT,ITHACA,NY 14853
EASLEY, D
OHARA, M
论文数:
0
引用数:
0
h-index:
0
机构:
CORNELL UNIV,JOHNSON GRAD SCH MANAGEMENT,ITHACA,NY 14853
CORNELL UNIV,JOHNSON GRAD SCH MANAGEMENT,ITHACA,NY 14853
OHARA, M
[J].
JOURNAL OF FINANCE,
1994,
49
(01)
: 153
-
181
[2]
SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES
CLARK, PK
论文数:
0
引用数:
0
h-index:
0
CLARK, PK
[J].
ECONOMETRICA,
1973,
41
(01)
: 135
-
155
[3]
MODEL OF ASSET TRADING UNDER ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL
COPELAND, TE
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF LOS ANGELES,LOS ANGELES,CA 90024
UNIV CALIF LOS ANGELES,LOS ANGELES,CA 90024
COPELAND, TE
[J].
JOURNAL OF FINANCE,
1976,
31
(04)
: 1149
-
1168
[4]
STOCHASTIC DEPENDENCE OF SECURITY PRICE CHANGES AND TRANSACTION VOLUMES - IMPLICATIONS FOR MIXTURE OF DISTRIBUTIONS HYPOTHESIS
EPPS, TW
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV VIRGINIA, CHARLOTTESVILLE, VA 22903 USA
UNIV VIRGINIA, CHARLOTTESVILLE, VA 22903 USA
EPPS, TW
EPPS, ML
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV VIRGINIA, CHARLOTTESVILLE, VA 22903 USA
UNIV VIRGINIA, CHARLOTTESVILLE, VA 22903 USA
EPPS, ML
[J].
ECONOMETRICA,
1976,
44
(02)
: 305
-
321
[5]
STOCK-PRICES AND VOLUME
GALLANT, AR
论文数:
0
引用数:
0
h-index:
0
机构:
DUKE UNIV,DEPT ECON,DURHAM,NC 27706
GALLANT, AR
ROSSI, PE
论文数:
0
引用数:
0
h-index:
0
机构:
DUKE UNIV,DEPT ECON,DURHAM,NC 27706
ROSSI, PE
TAUCHEN, G
论文数:
0
引用数:
0
h-index:
0
机构:
DUKE UNIV,DEPT ECON,DURHAM,NC 27706
TAUCHEN, G
[J].
REVIEW OF FINANCIAL STUDIES,
1992,
5
(02)
: 199
-
242
[6]
FUTURES PRICE VARIABILITY - A TEST OF MATURITY AND VOLUME EFFECTS
GRAMMATIKOS, T
论文数:
0
引用数:
0
h-index:
0
机构:
NYU, NEW YORK, NY 10003 USA
GRAMMATIKOS, T
SAUNDERS, A
论文数:
0
引用数:
0
h-index:
0
机构:
NYU, NEW YORK, NY 10003 USA
SAUNDERS, A
[J].
JOURNAL OF BUSINESS,
1986,
59
(02)
: 319
-
330
[7]
LARGE SAMPLE PROPERTIES OF GENERALIZED-METHOD OF MOMENTS ESTIMATORS
HANSEN, LP
论文数:
0
引用数:
0
h-index:
0
HANSEN, LP
[J].
ECONOMETRICA,
1982,
50
(04)
: 1029
-
1054
[8]
TRANSACTION DATA TESTS OF THE MIXTURE OF DISTRIBUTIONS HYPOTHESIS
HARRIS, L
论文数:
0
引用数:
0
h-index:
0
HARRIS, L
[J].
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
1987,
22
(02)
: 127
-
141
[9]
THE RELATION BETWEEN PRICE CHANGES AND TRADING VOLUME - A SURVEY
KARPOFF, JM
论文数:
0
引用数:
0
h-index:
0
KARPOFF, JM
[J].
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
1987,
22
(01)
: 109
-
126
[10]
HETEROSKEDASTICITY IN STOCK RETURN DATA - VOLUME VERSUS GARCH EFFECTS
LAMOUREUX, CG
论文数:
0
引用数:
0
h-index:
0
机构:
LOUISIANA STATE UNIV,COLL BUSINESS ADM,DEPT ECON,BATON ROUGE,LA 70803
LOUISIANA STATE UNIV,COLL BUSINESS ADM,DEPT ECON,BATON ROUGE,LA 70803
LAMOUREUX, CG
LASTRAPES, WD
论文数:
0
引用数:
0
h-index:
0
机构:
LOUISIANA STATE UNIV,COLL BUSINESS ADM,DEPT ECON,BATON ROUGE,LA 70803
LOUISIANA STATE UNIV,COLL BUSINESS ADM,DEPT ECON,BATON ROUGE,LA 70803
LASTRAPES, WD
[J].
JOURNAL OF FINANCE,
1990,
45
(01)
: 221
-
229
←
1
2
→
共 15 条
[1]
MARKET STATISTICS AND TECHNICAL ANALYSIS - THE ROLE OF VOLUME
BLUME, L
论文数:
0
引用数:
0
h-index:
0
机构:
CORNELL UNIV,JOHNSON GRAD SCH MANAGEMENT,ITHACA,NY 14853
CORNELL UNIV,JOHNSON GRAD SCH MANAGEMENT,ITHACA,NY 14853
BLUME, L
EASLEY, D
论文数:
0
引用数:
0
h-index:
0
机构:
CORNELL UNIV,JOHNSON GRAD SCH MANAGEMENT,ITHACA,NY 14853
CORNELL UNIV,JOHNSON GRAD SCH MANAGEMENT,ITHACA,NY 14853
EASLEY, D
OHARA, M
论文数:
0
引用数:
0
h-index:
0
机构:
CORNELL UNIV,JOHNSON GRAD SCH MANAGEMENT,ITHACA,NY 14853
CORNELL UNIV,JOHNSON GRAD SCH MANAGEMENT,ITHACA,NY 14853
OHARA, M
[J].
JOURNAL OF FINANCE,
1994,
49
(01)
: 153
-
181
[2]
SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES
CLARK, PK
论文数:
0
引用数:
0
h-index:
0
CLARK, PK
[J].
ECONOMETRICA,
1973,
41
(01)
: 135
-
155
[3]
MODEL OF ASSET TRADING UNDER ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL
COPELAND, TE
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CALIF LOS ANGELES,LOS ANGELES,CA 90024
UNIV CALIF LOS ANGELES,LOS ANGELES,CA 90024
COPELAND, TE
[J].
JOURNAL OF FINANCE,
1976,
31
(04)
: 1149
-
1168
[4]
STOCHASTIC DEPENDENCE OF SECURITY PRICE CHANGES AND TRANSACTION VOLUMES - IMPLICATIONS FOR MIXTURE OF DISTRIBUTIONS HYPOTHESIS
EPPS, TW
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV VIRGINIA, CHARLOTTESVILLE, VA 22903 USA
UNIV VIRGINIA, CHARLOTTESVILLE, VA 22903 USA
EPPS, TW
EPPS, ML
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV VIRGINIA, CHARLOTTESVILLE, VA 22903 USA
UNIV VIRGINIA, CHARLOTTESVILLE, VA 22903 USA
EPPS, ML
[J].
ECONOMETRICA,
1976,
44
(02)
: 305
-
321
[5]
STOCK-PRICES AND VOLUME
GALLANT, AR
论文数:
0
引用数:
0
h-index:
0
机构:
DUKE UNIV,DEPT ECON,DURHAM,NC 27706
GALLANT, AR
ROSSI, PE
论文数:
0
引用数:
0
h-index:
0
机构:
DUKE UNIV,DEPT ECON,DURHAM,NC 27706
ROSSI, PE
TAUCHEN, G
论文数:
0
引用数:
0
h-index:
0
机构:
DUKE UNIV,DEPT ECON,DURHAM,NC 27706
TAUCHEN, G
[J].
REVIEW OF FINANCIAL STUDIES,
1992,
5
(02)
: 199
-
242
[6]
FUTURES PRICE VARIABILITY - A TEST OF MATURITY AND VOLUME EFFECTS
GRAMMATIKOS, T
论文数:
0
引用数:
0
h-index:
0
机构:
NYU, NEW YORK, NY 10003 USA
GRAMMATIKOS, T
SAUNDERS, A
论文数:
0
引用数:
0
h-index:
0
机构:
NYU, NEW YORK, NY 10003 USA
SAUNDERS, A
[J].
JOURNAL OF BUSINESS,
1986,
59
(02)
: 319
-
330
[7]
LARGE SAMPLE PROPERTIES OF GENERALIZED-METHOD OF MOMENTS ESTIMATORS
HANSEN, LP
论文数:
0
引用数:
0
h-index:
0
HANSEN, LP
[J].
ECONOMETRICA,
1982,
50
(04)
: 1029
-
1054
[8]
TRANSACTION DATA TESTS OF THE MIXTURE OF DISTRIBUTIONS HYPOTHESIS
HARRIS, L
论文数:
0
引用数:
0
h-index:
0
HARRIS, L
[J].
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
1987,
22
(02)
: 127
-
141
[9]
THE RELATION BETWEEN PRICE CHANGES AND TRADING VOLUME - A SURVEY
KARPOFF, JM
论文数:
0
引用数:
0
h-index:
0
KARPOFF, JM
[J].
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
1987,
22
(01)
: 109
-
126
[10]
HETEROSKEDASTICITY IN STOCK RETURN DATA - VOLUME VERSUS GARCH EFFECTS
LAMOUREUX, CG
论文数:
0
引用数:
0
h-index:
0
机构:
LOUISIANA STATE UNIV,COLL BUSINESS ADM,DEPT ECON,BATON ROUGE,LA 70803
LOUISIANA STATE UNIV,COLL BUSINESS ADM,DEPT ECON,BATON ROUGE,LA 70803
LAMOUREUX, CG
LASTRAPES, WD
论文数:
0
引用数:
0
h-index:
0
机构:
LOUISIANA STATE UNIV,COLL BUSINESS ADM,DEPT ECON,BATON ROUGE,LA 70803
LOUISIANA STATE UNIV,COLL BUSINESS ADM,DEPT ECON,BATON ROUGE,LA 70803
LASTRAPES, WD
[J].
JOURNAL OF FINANCE,
1990,
45
(01)
: 221
-
229
←
1
2
→