Using five-minute data, market volatility in the Dow Jones Industrial Average is examined in the presence of trading collars. A polynomial specification is used for capturing intraday seasonality. Results indicate that market volatility is 3.4 % higher in declining markets when trading collars are in effect. Results also support a U-shaped intraday periodicity in volatility.
This paper documents a stark periodicity in intraday volume and in the number of trades. We find act...
The persistence in time of the calendar anomalies is one of the most disputed subjects from the fina...
We propose a novel intraday instantaneous volatility measure which utilises sequences of drawdowns a...
Using 5 minute data, we examine market volatility in the Dow Jones Industrial Average in the presenc...
We establish several new stylized facts concerning the intra-day seasonalities of stock dynamics. Be...
We develop a nonparametric test for whether return volatility exhibits time-varying intraday periodi...
The pattern of intra-day stock price volatility is established in the academic literature as having ...
Many recent papers have documented periodicities in returns, return volatility, bid–ask spreads and ...
Justifying intraday trading rate as the proportion of trades by whom a person buy and sell the same...
The pattern of intra-day stock price volatility is established in the academic literature as having ...
Using a reduced rank regression framework as well as information criteria, we investigate the presen...
We study the intraday behaviour of the statistical moments of the trading volume of the blue chip eq...
In this dissertation I examine an intraday volatility trading strategy by comparing two different me...
We investigate the volatility structure of gold, trading as a futures contract on the Chicago Board ...
Intraday return volatilities are characterized by the contemporaneous presence of periodicity and lo...
This paper documents a stark periodicity in intraday volume and in the number of trades. We find act...
The persistence in time of the calendar anomalies is one of the most disputed subjects from the fina...
We propose a novel intraday instantaneous volatility measure which utilises sequences of drawdowns a...
Using 5 minute data, we examine market volatility in the Dow Jones Industrial Average in the presenc...
We establish several new stylized facts concerning the intra-day seasonalities of stock dynamics. Be...
We develop a nonparametric test for whether return volatility exhibits time-varying intraday periodi...
The pattern of intra-day stock price volatility is established in the academic literature as having ...
Many recent papers have documented periodicities in returns, return volatility, bid–ask spreads and ...
Justifying intraday trading rate as the proportion of trades by whom a person buy and sell the same...
The pattern of intra-day stock price volatility is established in the academic literature as having ...
Using a reduced rank regression framework as well as information criteria, we investigate the presen...
We study the intraday behaviour of the statistical moments of the trading volume of the blue chip eq...
In this dissertation I examine an intraday volatility trading strategy by comparing two different me...
We investigate the volatility structure of gold, trading as a futures contract on the Chicago Board ...
Intraday return volatilities are characterized by the contemporaneous presence of periodicity and lo...
This paper documents a stark periodicity in intraday volume and in the number of trades. We find act...
The persistence in time of the calendar anomalies is one of the most disputed subjects from the fina...
We propose a novel intraday instantaneous volatility measure which utilises sequences of drawdowns a...
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