Futures Price Variability: A Test of Maturity and Volume Effects

MONEY, INCOME, AND CAUSALITY

1972 • 3,059 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

The Extreme Value Method for Estimating the Variance of the Rate of Return

1980 • 1,853 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

On the Estimation of Security Price Volatilities from Historical Data

1980 • 1,466 citations

The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

1976 • 967 citations

Comparing alternative tests of causality in temporal systems

1983 • 643 citations

A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*

1976 • 635 citations

Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach

1976 • 435 citations

An Equilibrium Model of Asset Trading with Sequential Information Arrival

1981 • 412 citations

Causality and econometrics

1979 • 324 citations

The Dependence of Prices and Volume

1978 • 182 citations

The relationship between volume and price variability in futures markets

2000 • 145 citations

The quality option implicit in futures contracts

1984 • 96 citations

A Note on the Variability of Futures Prices

1976 • 89 citations

Is Real-World Price a Tale Told by the Idiot of Chance?

1976 • 74 citations

The Relation Between Volatility and Maturity in Futures Contracts

1979 • 22 citations

The Effect of Maturity on Price Fluctuations

1956 • 12 citations

Futures markets : the maturity effect on risk and return

1981 • 6 citations

Liquidity, price variability, and storage asymmetry : a study of the behavior of prices in futures markets

1984 • 5 citations