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- W2119902023 abstract "Recent work offers mixed results regarding the nature of intraday volatility patterns in futures markets and, specifically, the existence of spikes in futures return volatility during the middle of the U.S. trading day (Crain & Lee, 1995; Kawaller, Koch, & Peterson, 1994). This note analyzes time and sales data on two markets—Eurodollar futures and deutsche mark futures—to investigate the existence of such spikes, and to examine the nature of changes in intraday volatility patterns over time. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 195–216, 1999" @default.
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- W2119902023 date "1999-04-01" @default.
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- W2119902023 title "Mid-day volatility spikes in U.S. futures markets" @default.
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- W2119902023 doi "https://doi.org/10.1002/(sici)1096-9934(199904)19:2<195::aid-fut4>3.0.co;2-c" @default.
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