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The Samuelson hypothesis in futures markets: An analysis using intraday data

โœ Scribed by Huu Nhan Duong; Petko S. Kalev


Book ID
116615058
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
190 KB
Volume
32
Category
Article
ISSN
0378-4266

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Nonlinear dynamics in high-frequency int
โœ David G. McMillan; Alan E. H. Speight ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 151 KB

## Abstract Recent research investigating the properties of highโ€frequency financial data has suggested that the stochastic nonlinearity widely present in such data may be characterized by heterogeneous components in conditional volatility, and nonlinear dependence of threshold autoregressive form