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Applied Financial Economics Volume 11, 2001 - Issue 3
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Original Articles

Volatility dynamics in high frequency financial data: an empirical investigation of the Australian equity returns

G. Mujtaba Mian
&
Christopher M. Adam
Pages 341-352 | Published online: 07 Oct 2010

Citations (13)

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Read on this site (2)

Manolis G. Kavussanos & Ilias D. Visvikis. (2008) Hedging effectiveness of the Athens stock index futures contracts. The European Journal of Finance 14:3, pages 243-270.
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Mei-Hsing Cheng & Hsin-Hong Kang. (2007) Price-Formation Process of an Emerging Futures Market: Call Auction Versus Continuous Auction. Emerging Markets Finance and Trade 43:1, pages 74-97.
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Articles from other publishers (11)

Riza Erdugan, Nada Kulendran & Riccardo Natoli. (2019) Incorporating financial market volatility to improve forecasts of directional changes in Australian share market returns. Financial Markets and Portfolio Management 33:4, pages 417-445.
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Nirodha I. Jayawardena, Neda Todorova, Bin Li & Jen-Je Su. (2016) Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange. Economic Modelling 52, pages 592-608.
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Neda Todorova & Michael Souček. (2014) Overnight information flow and realized volatility forecasting. Finance Research Letters 11:4, pages 420-428.
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Carlin C.F. Chu & K.P. Lam. (2011) Modeling intraday volatility: A new consideration. Journal of International Financial Markets, Institutions and Money 21:3, pages 388-418.
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Yaw‐Huei Wang & Yun‐Yi Wang. (2010) Intraday Volatility Patterns in the Taiwan Stock Market and the Impact on Volatility Forecasting. Asia-Pacific Journal of Financial Studies 39:1, pages 70-89.
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Andrew C. Worthington. (2009) Political Cycles in the Australian Stock Market since Federation. Australian Economic Review 42:4, pages 397-409.
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Thomas C. Chiang, Hai-Chin Yu & Ming-Chya Wu. (2009) Statistical properties, dynamic conditional correlation and scaling analysis: Evidence from Dow Jones and Nasdaq high-frequency data. Physica A: Statistical Mechanics and its Applications 388:8, pages 1555-1570.
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Julia Henker, Thomas Henker & Anna Mitsios. (2006) Do investors herd intraday in Australian equities?. International Journal of Managerial Finance 2:3, pages 196-219.
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Ming-Chya Wu, Ming-Chang Huang, Hai-Chin Yu & Thomas C. Chiang. (2006) Phase distribution and phase correlation of financial time series. Physical Review E 73:1.
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Donald Lien & Li Yang. (2005) Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data. The Quarterly Review of Economics and Finance 45:4-5, pages 730-747.
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Susan Thomas. (2003) High Frequency Data in Finance: A Study of the Indian Equity Markets. SSRN Electronic Journal.
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