Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High‐Frequency Data?

Nonlinear dynamics and competing behavioral interpretations : evidence from intra-day FTSE-100 index and futures data

McMillan, David G., (2006)

Market trader heterogeneity and high frequency volatility dynamics: further evidence from intra-day FTSE-100 futures data

McMillan, David G., (2006)

Nonlinear dynamics and competing behavioral interpretations: Evidence from intra‐day FTSE‐100 index and futures data

McMillan, David G., (2006)