Modelling the Intraday Return of Volatility Process in the Australian Equity Market

Modelling the Intraday Return of Volatility Process in the Australian Equity Market
Author: Andrew Worthington
Publisher:
Total Pages: 14
Release: 2003
Genre: Stock exchanges
ISBN:
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"The data set employed consists of five-minute returns, trading volumes at bid-ask spreads over the period 31 December 2002 to 4 March 2003 for the fifty national and multinational stocks comprising the S&P/ASX 50 index." --p. 1.


Modelling the Intraday Return of Volatility Process in the Australian Equity Market
Language: en
Pages: 14

Modelling the Intraday Return of Volatility Process in the Australian Equity Market

Authors: Andrew Worthington
Categories: Stock exchanges
Type: BOOK - Published: 2003 - Publisher:

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"The data set employed consists of five-minute returns, trading volumes at bid-ask spreads over the period 31 December 2002 to 4 March 2003 for the fifty nation
Public Information Arrival and Volatility of Intraday Stock Returns
Language: en
Pages: 36

Public Information Arrival and Volatility of Intraday Stock Returns

Authors: Petko S. Kalev
Categories:
Type: BOOK - Published: 2014 - Publisher:

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This study employs firm-specific announcements as a proxy for information flows and investigates the information-volatility relation using high-frequency data f
Intraday Volatility Forecast in Australian Equity Market
Language: en
Pages: 7

Intraday Volatility Forecast in Australian Equity Market

Authors: Abhay Kumar Singh
Categories:
Type: BOOK - Published: 2013 - Publisher:

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On the afternoon of May 6, 2010 Dow Jones Industrial Average (DJIA) plunged about 1000 points (about 9%) in a matter of minutes before rebounding almost as quic
Modelling and forecasting stock return volatility and the term structure of interest rates
Language: en
Pages: 286

Modelling and forecasting stock return volatility and the term structure of interest rates

Authors: Michiel de Pooter
Categories:
Type: BOOK - Published: 2007 - Publisher: Rozenberg Publishers

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This dissertation consists of a collection of studies on two areas in quantitative finance: asset return volatility and the term structure of interest rates. Th
Asia Pacific Journal of Finance
Language: en
Pages: 796

Asia Pacific Journal of Finance

Authors:
Categories: Asia
Type: BOOK - Published: 1998 - Publisher:

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