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Long memory, the "Taylor effect" and intraday volatility in commodity futures markets

Celso Brunetti

Publication Data

Title Long memory, the "Taylor effect" and intraday volatility in commodity futures markets
Author Celso Brunetti
Contributor
Publisher University of Edinburgh, Centre for Financial Markets Research, Management School
Publication date 1999
Publication location Edinburgh
Language English

Topics

Commodity futures :: Mathematical models

Catalogue Data

OBNB ID GBA032661
ISBN 10 1902850270
ISBN 13 n/a
Type BibliographicResource, Book

ISBD

P1053 26p.
P1042 Includes bibliographical references.

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Long memory, the "Taylor effect" and intraday volatility in commodity futures markets by Celso Brunetti. ISBN 1902850270. Published by University of Edinburgh, Centre for Financial Markets Research, Management School in 1999. Publication and catalogue information, links to buy online and reader comments.