Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/25021
Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Nonlinear dynamics in high-frequency intraday financial data: Evidence for the UK long gilt futures market
Authors: McMillan, David
Speight, Alan E H
Contact Email: david.mcmillan@stir.ac.uk
Issue Date: Nov-2002
Citation: McMillan D & Speight AEH (2002) Nonlinear dynamics in high-frequency intraday financial data: Evidence for the UK long gilt futures market, Journal of Futures Markets, 22 (11), pp. 1037-1057.
Abstract: Recent research investigating the properties of high-frequency financial data has suggested that the stochastic nonlinearity widely present in such data may be characterized by heterogeneous components in conditional volatility, and nonlinear dependence of threshold autoregressive form due to market frictions. This article tests for the presence of such effects in intraday long gilt futures returns on the UK LIFFE market. Tests against the null of linearity indicate the significance of smooth transition autoregressive nonlinearities in such returns at the 5-min frequency, which entails a first-order autoregressive process with switching intercept. This nonlinear structure is robust to the presence of asymmetric and component structures in conditional variance, and consistent with the existence of heterogeneous traders facing different levels of transaction costs, noise trader risk, or capital constraints.
DOI Link: http://dx.doi.org/10.1002/fut.10043
Rights: The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.

Files in This Item:
File Description SizeFormat 
McMillan_et_al-2002-Journal_of_Futures_Markets.pdf151.11 kBAdobe PDFUnder Embargo until 31/12/2999     Request a copy

Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependent on the depositor still being contactable at their original email address.



This item is protected by original copyright



Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

If you believe that any material held in STORRE infringes copyright, please contact library@stir.ac.uk providing details and we will remove the Work from public display in STORRE and investigate your claim.