STORRE
STORRE: Stirling Online Research Repository
http://hdl.handle.net/1893/25028| Appears in Collections: | Economics Journal Articles |
| Peer Review Status: | Refereed |
| Title: | Volatility dynamics and heterogeneous markets |
| Author(s): | McMillan, David Speight, Alan E H |
| Contact Email: | david.mcmillan@stir.ac.uk |
| Keywords: | Intra-day heterogeneous markets HARCH |
| Issue Date: | Apr-2006 |
| Date Deposited: | 27-Feb-2017 |
| Citation: | McMillan D & Speight AEH (2006) Volatility dynamics and heterogeneous markets. International Journal of Finance and Economics, 11 (2), pp. 115-121. https://doi.org/10.1002/ijfe.281 |
| Abstract: | Recent research has suggested that intra-day volatility may possess a component structure, resulting either from the arrival of heterogeneous information or the actions of heterogeneous market agents. This paper reports direct evidence for the existence of such components in S&P500 index and DM/$ exchange rate data. Estimation of a FIGARCH model supports the contention that volatility dynamics result from multiple sources. Using a HARCH conditional variance model which defines volatility components over differing time horizons, confirmatory evidence of heterogeneous components is reported, in which context the impact of high-frequency speculation and noise-trading are particularly apparent. |
| DOI Link: | 10.1002/ijfe.281 |
| 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. |
| Licence URL(s): | http://www.rioxx.net/licenses/under-embargo-all-rights-reserved |
| File | Description | Size | Format | |
|---|---|---|---|---|
| McMillan_et_al-2006-International_Journal_of_Finance__Economics.pdf | Fulltext - Published Version | 106.36 kB | Adobe PDF | Under Embargo until 2999-12-27 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.
The metadata of the records in the Repository are available under the CC0 public domain dedication: No Rights Reserved https://creativecommons.org/publicdomain/zero/1.0/
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.