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Temporal aggregation, volatility components and volume in high frequency UK bond futures

David G. McMillan

Publication Data

Title Temporal aggregation, volatility components and volume in high frequency UK bond futures
Author David G. McMillan
Contributors A. E. H Speight, A. E. H Speight, A. E. H Speight
Publisher St. Salvator's College
Publication date 1998
Publication location St. Andrews
Language English

Topics

Futures market :: Great Britain
Heteroscedasticity

Catalogue Data

OBNB ID GB9883766
ISBN 10 n/a
ISBN 13 n/a
Type BibliographicResource, Book

ISBD

P1053 17 p.
P1042 Includes bibliographical references.

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Temporal aggregation, volatility components and volume in high frequency UK bond futures by David G. McMillan. Published by St. Salvator's College in 1998. Publication and catalogue information, links to buy online and reader comments.