A Closer Look at the Eurofutures Market: Intraday Statistical Analysis

Intraday periodicity and volatility persistence in financial markets

Torben G. Andersen, Tim Bollerslev · Journal of Empirical Finance · 1997 · 1.4K citations

Business, Economics, Finance +16

How Markets Process Information: News Releases and Volatility

Louis H. Ederington, Jaeha Lee · The Journal of Finance · 1993 · 989 citations

Business, Economics, Finance +14

Price Movements and Price Discovery in Futures and Cash Markets

Kenneth D. Garbade, William L. Silber · The Review of Economics and Statistics · 1983 · 648 citations

Agriculture, Economics, Finance +17

A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

Ulrich Müller, Robert J. Nagler, Richard B. Olsen et al. · Journal of International Money and Finance · 1993 · 630 citations

Business, Economics, Financial Economics +15

From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets

Dominique Guillaume, Michel M. Dacorogna, Rakhal Dave et al. · Finance and Stochastics · 1997 · 524 citations · Full text

Social Sciences, Economics, Financial Economics +10