Purpose: The purpose of this paper is to assess trading strategies adopted by each large trader group and examine their effects on the volatility in the interest rate futures markets. Design/methodology/approach: The Grinblatt et al.'s (1995) measure of momentum strategy is used to estimate the...

We develop a new autoregressive conditional seasonal variance (ARCSV) process that captures both the changes in and the persistency of the intraday seasonal (U-shape) pattern of volatility. Unlike other procedures for seasonality, this approach allows for the intraday volatility pattern to...

The intraday seasonal variance pattern contains stochastic as well as deterministic components. Therefore, the estimation of information arrivals in the associated volatility process requires the proper filtering of both of these seasonal components. However, popular current models remove only...