Add to ORKGIt is well known that ¯nancial markets exhibit periods of high activity and low activity. In the present paper high frequency data of the S&P 500 futures stock index from January, 1988 until August 2001 is used to analyze this phenomenon. The aim is to describe the activity in terms of piecewise linear functions, and to relate news items to transition epochs
Recent research investigating the properties of high-frequency financial data has suggested that the...
Several stylized theoretical models of futures basis behavior under nonzero transactions costs predi...
none10noThis paper provides an econometric analysis aiming at evidencing the dynamics showed by the ...
We present an analysis of the time behavior of the S&P500 (Standard and Poors) New York stock ex...
We present an analysis of the time behavior of the $S$ & $P500$ (Standard and Poors) New York stock ...
peer reviewedWe analyze the evolution of several financial indices before the crash of October 1987....
This paper investigates the dynamics of stocks in the S&P500 for the last 33 years, considering the ...
We determine the events that cause large shocks in volatility of the DJIA index over the period 1928...
This paper investigates the dynamics of stocks in the S&P500 index for the last 30 years. Using a st...
In this paper, the dynamics of Standard and Poor's 500 (S&P 500) stock price index is analysed withi...
This paper investigates the dynamics of stocks in the S&P500 index for the last 30 years. Using a st...
In this study we attempt to answer the question – does the start of pre-announcing of S&P 500 index ...
The aim of this paper is to compare statistical properties of stock price indices in periods of boom...
In this paper we study an indicator of financial instability which relies on the computation of the ...
The behavior of stock prices has been thoroughly studied throughout the last century, and contradict...
Recent research investigating the properties of high-frequency financial data has suggested that the...
Several stylized theoretical models of futures basis behavior under nonzero transactions costs predi...
none10noThis paper provides an econometric analysis aiming at evidencing the dynamics showed by the ...
We present an analysis of the time behavior of the S&P500 (Standard and Poors) New York stock ex...
We present an analysis of the time behavior of the $S$ & $P500$ (Standard and Poors) New York stock ...
peer reviewedWe analyze the evolution of several financial indices before the crash of October 1987....
This paper investigates the dynamics of stocks in the S&P500 for the last 33 years, considering the ...
We determine the events that cause large shocks in volatility of the DJIA index over the period 1928...
This paper investigates the dynamics of stocks in the S&P500 index for the last 30 years. Using a st...
In this paper, the dynamics of Standard and Poor's 500 (S&P 500) stock price index is analysed withi...
This paper investigates the dynamics of stocks in the S&P500 index for the last 30 years. Using a st...
In this study we attempt to answer the question – does the start of pre-announcing of S&P 500 index ...
The aim of this paper is to compare statistical properties of stock price indices in periods of boom...
In this paper we study an indicator of financial instability which relies on the computation of the ...
The behavior of stock prices has been thoroughly studied throughout the last century, and contradict...
Recent research investigating the properties of high-frequency financial data has suggested that the...
Several stylized theoretical models of futures basis behavior under nonzero transactions costs predi...
none10noThis paper provides an econometric analysis aiming at evidencing the dynamics showed by the ...