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  • Search: subject:"GARCH and persistence effect"
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Subject
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Futures markets 1 GARCH and persistence effect 1 asymmetric information 1 difference in opinion 1 mixture of distributions 1 number and volume of trades 1 price volatility 1 trading imbalance 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Chen, An-Sing 1 Gao, Hui-Jyuan 1 Leung, Mark 1
Institution
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College of Business, University of Texas-San Antonio 1
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Working Papers / College of Business, University of Texas-San Antonio 1
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RePEc 1
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Is Trading Imbalance a Better Explanatory Factor in the Volatility Process? Intraday and Daily Evidence from E-mini S&P 500 Index Futures and Information-Based Hypotheses
Chen, An-Sing; Gao, Hui-Jyuan; Leung, Mark - College of Business, University of Texas-San Antonio
This paper examines trading imbalance as well as traditional trading variables in the volume-volatility relation in futures market. Unlike the majority of studies which utilize daily data, our empirical investigation compares an array of intraday frequencies (from five minutes to one hour) with...
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