Modelling volatility and correlation for tick-by-tick returns data using trading information and buy/sell signals

Modelling trading volume and volatility of share prices as fractional processes

Brookfield, D.
Peel, D.
Liverpool Univ. (United Kingdom). Dept. of Economics and Accounting

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:5281.18482(no 9612) / BLDSC - British...

A recursive modelling approach to predicting UK stock returns

Pesaran, M.H.
Timmermann, A.
London School of Economics (United Kingdom). Financial Markets Group

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(322) / BLDSC - British Libra...

Dynamic transmission mechanisms in the returns and volatilities of the large versus smaller U.K. stocks

Pisedtasalasai, A.

January 2002

Available from British Library Document Supply Centre-DSC:DXN052010 / BLDSC - British Library Docume...

Modelling currency volatility and returns

Biekpe, N.B.

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN021479 / BLDSC - British Library D...

Forecasting (Log) volatility models

Christodoulakis, G.A.
Satchell, S.E.
Exeter Univ. (United Kingdom). Dept. of Economics

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9295(98/14) / BLDSC - British Li...

Can output explain the predictability and volatility of stock returns

Rodriguez, R.
Restoy, F.
Pena, J.I.
Centre for Economic Policy Research, London (United Kingdom)

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9512(1995) / BLDSC - British Lib...

Essays on financial volatility and correlation Modelling and forecasting

Christodoulakis, George

January 2001

Available from British Library Document Supply Centre- DSC:DXN055512 / BLDSC - British Library Docum...

Modelling Standard and Poors 100 index volatility

Blair, B.J.

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN041095 / BLDSC - British Library D...

The econometrics of stochastic volatility

Harvey, A.C.
Shephard, N
London School of Economics (United Kingdom). Financial Markets Group

January 1993

Available from British Library Document Supply Centre- DSC:5300.405(LSE-FMG-DP--166) / BLDSC - Briti...

Dispersion and volatility in stock returns An empirical investigation

Campbell, J.Y.
Kim, S.
Lettau, M.
Centre for Economic Policy Research, London (United Kingdom)

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9512(1923) / BLDSC - British Lib...

Trading volume and the subordinated stochastic process model of stock returns

Rougier, J
Durham Univ. (United Kingdom). Dept. of Economics

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.1059(DUDE-WP--113) / BLDSC - Br...

Econometric analysis of realised volatility and its use in estimating stochastic volatility models

Barndorff-Nielsen, O.E.
Shephard, N.
Nuffield Coll. Oxford (United Kingdom)

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3656.9761(no 2001-4) / BLDSC - Britis...

Threshold modelling of stock return volatility on Eastern European markets

Sian, K.K.
Leicester Univ. (United Kingdom). Centre for European Economic Studies (CEES)

January 1996

Available from British Library Document Supply Centre-DSC:7742.6443(96/6) / BLDSC - British Library ...

The relative volatility of the markets in equities and index futures

Board, J.
Sutcliffe, C.
Southampton Univ. (United Kingdom). Dept. of Accounting and Management Science

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.88753(92-40) / BLDSC - British L...

The behaviour of UK stock prices and returns

Hayes, S

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:DX188270 / BLDSC - British Library D...

Modelling trading volume and volatility of share prices as fractional processes

Brookfield, D.
Peel, D.
Liverpool Univ. (United Kingdom). Dept. of Economics and Accounting

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:5281.18482(no 9612) / BLDSC - British...

A recursive modelling approach to predicting UK stock returns

Pesaran, M.H.
Timmermann, A.
London School of Economics (United Kingdom). Financial Markets Group

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(322) / BLDSC - British Libra...

Dynamic transmission mechanisms in the returns and volatilities of the large versus smaller U.K. stocks

Pisedtasalasai, A.

January 2002

Available from British Library Document Supply Centre-DSC:DXN052010 / BLDSC - British Library Docume...

Modelling currency volatility and returns

Biekpe, N.B.

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN021479 / BLDSC - British Library D...

Forecasting (Log) volatility models

Christodoulakis, G.A.
Satchell, S.E.
Exeter Univ. (United Kingdom). Dept. of Economics

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9295(98/14) / BLDSC - British Li...

Can output explain the predictability and volatility of stock returns

Rodriguez, R.
Restoy, F.
Pena, J.I.
Centre for Economic Policy Research, London (United Kingdom)

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9512(1995) / BLDSC - British Lib...

Essays on financial volatility and correlation Modelling and forecasting

Christodoulakis, George

January 2001

Available from British Library Document Supply Centre- DSC:DXN055512 / BLDSC - British Library Docum...

Modelling Standard and Poors 100 index volatility

Blair, B.J.

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN041095 / BLDSC - British Library D...

The econometrics of stochastic volatility

Harvey, A.C.
Shephard, N
London School of Economics (United Kingdom). Financial Markets Group

January 1993

Available from British Library Document Supply Centre- DSC:5300.405(LSE-FMG-DP--166) / BLDSC - Briti...

Dispersion and volatility in stock returns An empirical investigation

Campbell, J.Y.
Kim, S.
Lettau, M.
Centre for Economic Policy Research, London (United Kingdom)

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9512(1923) / BLDSC - British Lib...

Trading volume and the subordinated stochastic process model of stock returns

Rougier, J
Durham Univ. (United Kingdom). Dept. of Economics

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.1059(DUDE-WP--113) / BLDSC - Br...

Econometric analysis of realised volatility and its use in estimating stochastic volatility models

Barndorff-Nielsen, O.E.
Shephard, N.
Nuffield Coll. Oxford (United Kingdom)

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3656.9761(no 2001-4) / BLDSC - Britis...

Threshold modelling of stock return volatility on Eastern European markets

Sian, K.K.
Leicester Univ. (United Kingdom). Centre for European Economic Studies (CEES)

January 1996

Available from British Library Document Supply Centre-DSC:7742.6443(96/6) / BLDSC - British Library ...

The relative volatility of the markets in equities and index futures

Board, J.
Sutcliffe, C.
Southampton Univ. (United Kingdom). Dept. of Accounting and Management Science

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.88753(92-40) / BLDSC - British L...

The behaviour of UK stock prices and returns

Hayes, S

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:DX188270 / BLDSC - British Library D...

Modelling trading volume and volatility of share prices as fractional processes

Brookfield, D.
Peel, D.
Liverpool Univ. (United Kingdom). Dept. of Economics and Accounting

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:5281.18482(no 9612) / BLDSC - British...

A recursive modelling approach to predicting UK stock returns

Pesaran, M.H.
Timmermann, A.
London School of Economics (United Kingdom). Financial Markets Group

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(322) / BLDSC - British Libra...

Dynamic transmission mechanisms in the returns and volatilities of the large versus smaller U.K. stocks

Pisedtasalasai, A.

January 2002

Available from British Library Document Supply Centre-DSC:DXN052010 / BLDSC - British Library Docume...

Modelling volatility and correlation for tick-by-tick returns data using trading information and buy/sell signals

Abstract

Extracted data

Modelling volatility and correlation for tick-by-tick returns data using trading information and buy/sell signals

Abstract

Extracted data

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