Temporal Aggregation, Volatility Components and Volume in High Frequency UK Bond Futures

Research output: Contribution to journal › Article › peer-review

Handle.net

@article{7804aab2c1d14a0f989605f5cc51d1b4,

title = "Temporal Aggregation, Volatility Components and Volume in High Frequency UK Bond Futures",

author = "McMillan, \{David Gordon\} and A Speight and \{\textasciitilde{}Missing Data\}, \{\textasciitilde{}Missing Data\}",

year = "2002",

language = "English",

volume = "8",

pages = "70--92",

journal = "European Journal of Finance",

issn = "1351-847X",

publisher = "Routledge Taylor \& Francis Group",

}