Browsing School of Business by Subject "High frequency data"

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Browsing School of Business by Subject "High frequency data"

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  • Cotter, John ; Longin, François (University College Dublin. School of Business. Centre for Financial Markets, 2004-06-14)
    Both in practice and in the academic literature, models for setting margin requirements in futures markets use daily closing price changes. However, financial markets have recently shown high intraday volatility, which ...

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