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TESTS OF NON-LINEARITY USING LIFFE FUTURES TRANSACTIONS PRICE DATA

GWILYM, O.AP; BROOKS, C.; CLARE, A.; THOMAS, S. - In: The Manchester School 67 (1999) 2, pp. 167-186

Persistent link: https://www.econbiz.de/10007820483

The intraday relationship between volume and volatility in LIFFE futures markets

Gwilym, O.AP; McMillan, D.; Speight, A. - In: Applied financial economics 9 (1999) 6, pp. 593-604

Persistent link: https://www.econbiz.de/10007683207

Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements

Buckle, M.; Gwilym, O. ap; Thomas, S.H.; Woodhams, M.S. - In: Journal of Business Finance & Accounting 25 (1998-09) 7&8, pp. 921-944

This paper focuses on the intraday behaviour of returns, volatility, volume and price reversals for the "Short Sterling" interest rate and "FTSE100" stock index futures contracts traded on the London International Financial Futures and Options Exchange (LIFFE). It also examines the effect of...

Persistent link: https://www.econbiz.de/10005672434

Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements

Buckle, M.; Gwilym, O.Ap; Thomas, S.H.; Woodhams, M.S. - In: Journal of business finance & accounting : JBFA 25 (1998) 7-8, pp. 921-944

Persistent link: https://www.econbiz.de/10006991895