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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/25028
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dc.contributor.authorMcMillan, Daviden_UK
dc.contributor.authorSpeight, Alan E Hen_UK
dc.date.accessioned2017-02-28T00:24:07Z-
dc.date.available2017-02-28T00:24:07Zen_UK
dc.date.issued2006-04en_UK
dc.identifier.urihttp://hdl.handle.net/1893/25028-
dc.description.abstractRecent 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.en_UK
dc.language.isoenen_UK
dc.publisherWiley-Blackwellen_UK
dc.relationMcMillan 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.281en_UK
dc.rightsThe 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.en_UK
dc.rights.urihttp://www.rioxx.net/licenses/under-embargo-all-rights-reserveden_UK
dc.subjectIntra-dayen_UK
dc.subjectheterogeneous marketsen_UK
dc.subjectHARCHen_UK
dc.titleVolatility dynamics and heterogeneous marketsen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2999-12-27en_UK
dc.rights.embargoreason[McMillan_et_al-2006-International_Journal_of_Finance__Economics.pdf] The publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.en_UK
dc.identifier.doi10.1002/ijfe.281en_UK
dc.citation.jtitleInternational Journal of Finance and Economicsen_UK
dc.citation.issn1099-1158en_UK
dc.citation.issn1076-9307en_UK
dc.citation.volume11en_UK
dc.citation.issue2en_UK
dc.citation.spage115en_UK
dc.citation.epage121en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusVoR - Version of Recorden_UK
dc.author.emaildavid.mcmillan@stir.ac.uken_UK
dc.citation.date26/04/2006en_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationSwansea Universityen_UK
dc.identifier.isiWOS:000237897900002en_UK
dc.identifier.scopusid2-s2.0-33646771716en_UK
dc.identifier.wtid539443en_UK
dc.contributor.orcid0000-0002-5891-4193en_UK
dcterms.dateAccepted2006-04-26en_UK
dc.date.filedepositdate2017-02-27en_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionVoRen_UK
local.rioxx.authorMcMillan, David|0000-0002-5891-4193en_UK
local.rioxx.authorSpeight, Alan E H|en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2999-12-27en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||en_UK
local.rioxx.filenameMcMillan_et_al-2006-International_Journal_of_Finance__Economics.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source1076-9307en_UK
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