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Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures
McMillan, David, (2003)
The intraday relationship between volume and volatility in LIFFE futures markets
Gwilym, Owain Ap, (1999)
Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility
McMillan, David, (2004)