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Trading intensity, volatility, and arbitrage activity

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  • Taylor, Nicholas

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  • Taylor, Nicholas, 2004. "Trading intensity, volatility, and arbitrage activity," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1137-1162, May.
    • Handle: RePEc:eee:jbfina:v:28:y:2004:i:5:p:1137-1162
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    1. Taylor, Nick & Dijk, Dick van & Franses, Philip Hans & Lucas, Andre, 2000. "SETS, arbitrage activity, and stock price dynamics," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1289-1306, August.
    2. Jones, Charles M & Kaul, Gautam & Lipson, Marc L, 1994. "Transactions, Volume, and Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 631-651.
    3. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609.
    4. Christian Hafner, 2005. "Durations, volume and the prediction of financial returns in transaction time," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 145-152.
    5. Neal, Robert, 1996. "Direct Tests of Index Arbitrage Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(4), pages 541-562, December.
    6. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    7. Brennan, Michael J & Schwartz, Eduardo S, 1990. "Arbitrage in Stock Index Futures," The Journal of Business, University of Chicago Press, vol. 63(1), pages 7-31, January.
    8. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    9. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
    10. Gerhard, Frank & Hautsch, Nikolaus, 2000. "Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model," CoFE Discussion Papers 00/20, University of Konstanz, Center of Finance and Econometrics (CoFE).
    11. Martin Martens & Paul Kofman & Ton C. F. Vorst, 1998. "A threshold error-correction model for intraday futures and index returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 245-263.
    12. Brailsford, Timothy J. & Faff, Robert W., 1996. "An evaluation of volatility forecasting techniques," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 419-438, April.
    13. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
    14. Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July.
    15. Easley, David & O'Hara, Maureen, 1992. "Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
    16. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    17. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    18. Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-374.
    19. Garrett Ian & Taylor Nicholas, 2001. "Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(2), pages 1-22, July.
    20. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    21. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 109-126, March.
    22. Feike C. Drost & Bas J. M. Werker, 2000. "Efficient Estimation in Semiparametric Time Series: the ACD Model," Econometric Society World Congress 2000 Contributed Papers 0836, Econometric Society.
    23. Frank Gerhard & Nikolaus Hautsch, 2000. "Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models," Econometric Society World Congress 2000 Contributed Papers 1082, Econometric Society.
    24. Dwyer, Gerald P, Jr & Locke, Peter R & Yu, Wei, 1996. "Index Arbitrage and Nonlinear Dynamics between the S&P 500 Futures and Cash," The Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 301-332.
    25. Easley, David & O'Hara, Maureen, 1992. "Adverse Selection and Large Trade Volume: The Implications for Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(2), pages 185-208, June.
    26. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August.
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    Cited by:

    1. Evans, Kevin P. & Speight, Alan E.H., 2010. "Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility," Research in International Business and Finance, Elsevier, vol. 24(1), pages 82-101, January.
    2. Ray Chou & Chun-Chou Wu & Nathan Liu, 2009. "Forecasting time-varying covariance with a range-based dynamic conditional correlation model," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 327-345, November.
    3. Bowe, Michael & Hyde, Stuart & McFarlane, Lavern, 2013. "Duration, trading volume and the price impact of trades in an emerging futures market," Emerging Markets Review, Elsevier, vol. 17(C), pages 89-105.
    4. Evans, Kevin & Speight, Alan, 2010. "International macroeconomic announcements and intraday euro exchange rate volatility," Journal of the Japanese and International Economies, Elsevier, vol. 24(4), pages 552-568, December.
    5. Nicholas Taylor, 2011. "Time-varying price discovery in fragmented markets," Applied Financial Economics, Taylor & Francis Journals, vol. 21(10), pages 717-734.
    6. N. Taylor & Y. Xu, 2017. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1021-1035, July.
    7. Sobhesh Kumar Agarwalla & Ajay Pandey, 2013. "Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1046-1070, November.
    8. B.B. Chakrabarti & Vivek Rajvanshi, 2017. "Intraday Periodicity and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(1), pages 1-28, April.
    9. Agarwalla, Sobhesh Kumar & Pandey, Ajay, 2012. "Whether Cross-Listing, Stock-specific and Market-wide Calendar Events impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market using High-frequency Data," IIMA Working Papers WP2012-11-03, Indian Institute of Management Ahmedabad, Research and Publication Department.
    10. Nicholas Taylor, 2007. "A New Econometric Model of Index Arbitrage," European Financial Management, European Financial Management Association, vol. 13(1), pages 159-183, January.
    11. Lin, William T. & Tsai, Shih-Chuan & Chiu, Peter, 2016. "Do foreign institutions outperform in the Taiwan options market?," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 101-115.
    12. Evans, Kevin P. & Speight, Alan E.H., 2010. "Dynamic news effects in high frequency Euro exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 238-258, July.
    13. McMillan, David G. & Speight, Alan E.H. & Evans, Kevin P., 2008. "How useful is intraday data for evaluating daily Value-at-Risk?: Evidence from three Euro rates," Journal of Multinational Financial Management, Elsevier, vol. 18(5), pages 488-503, December.

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