FUTURES PRICE VARIABILITY - A TEST OF MATURITY AND VOLUME EFFECTS

[1] CASTELINO M, 1981, THESIS CITY U NEW YO

[2] SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J]. ECONOMETRICA, 1973, 41 (01) : 135 - 155

[3] MODEL OF ASSET TRADING UNDER ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL [J]. JOURNAL OF FINANCE, 1976, 31 (04) : 1149 - 1168

[4] THE RELATIONSHIP BETWEEN VOLUME AND PRICE VARIABILITY IN FUTURES MARKETS [J]. JOURNAL OF FUTURES MARKETS, 1981, 1 (03) : 303 - 316

[5] DUSAK K, 1979, RELATION VOLATILITY

[6] STOCHASTIC DEPENDENCE OF SECURITY PRICE CHANGES AND TRANSACTION VOLUMES - IMPLICATIONS FOR MIXTURE OF DISTRIBUTIONS HYPOTHESIS [J]. ECONOMETRICA, 1976, 44 (02) : 305 - 321

[7] FRENCH K, 1984, ARRIVAL INFORMATION

[8] ESTIMATION OF SECURITY PRICE VOLATILITIES FROM HISTORICAL DATA [J]. JOURNAL OF BUSINESS, 1980, 53 (01) : 67 - 78

[9] GAY G, 1984, 1984 M FIN MAN ASS D

[10] THE QUALITY OPTION IMPLICIT IN FUTURES CONTRACTS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1984, 13 (03) : 353 - 370

[1] CASTELINO M, 1981, THESIS CITY U NEW YO

[2] SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J]. ECONOMETRICA, 1973, 41 (01) : 135 - 155

[3] MODEL OF ASSET TRADING UNDER ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL [J]. JOURNAL OF FINANCE, 1976, 31 (04) : 1149 - 1168

[4] THE RELATIONSHIP BETWEEN VOLUME AND PRICE VARIABILITY IN FUTURES MARKETS [J]. JOURNAL OF FUTURES MARKETS, 1981, 1 (03) : 303 - 316

[5] DUSAK K, 1979, RELATION VOLATILITY

[6] STOCHASTIC DEPENDENCE OF SECURITY PRICE CHANGES AND TRANSACTION VOLUMES - IMPLICATIONS FOR MIXTURE OF DISTRIBUTIONS HYPOTHESIS [J]. ECONOMETRICA, 1976, 44 (02) : 305 - 321

[7] FRENCH K, 1984, ARRIVAL INFORMATION

[8] ESTIMATION OF SECURITY PRICE VOLATILITIES FROM HISTORICAL DATA [J]. JOURNAL OF BUSINESS, 1980, 53 (01) : 67 - 78

[9] GAY G, 1984, 1984 M FIN MAN ASS D

[10] THE QUALITY OPTION IMPLICIT IN FUTURES CONTRACTS [J]. JOURNAL OF FINANCIAL ECONOMICS, 1984, 13 (03) : 353 - 370