The Dynamic Relationship of Volatility, Volume, and Market Depth in Currency Futures Markets

Hung-Gay Fung; Gary A. Patterson

doi:10.1016/S1042-4431(98)00035-3

The Dynamic Relationship of Volatility, Volume, and Market Depth in Currency Futures Markets

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

Original language	American English
Journal	Journal of International Financial Markets, Institutions and Money
Volume	9
DOIs	https://doi.org/10.1016/S1042-4431(98)00035-3
State	Published - Jan 1 1999
Externally published	Yes

Disciplines

Economics
Finance
Macroeconomics

Access to Document

10.1016/S1042-4431(98)00035-3License: Unspecified

Cite this

@article{4360967e3ecd43de8802d77242e70009,

title = "The Dynamic Relationship of Volatility, Volume, and Market Depth in Currency Futures Markets",

author = "Hung-Gay Fung and Patterson, {Gary A.}",

note = "This study examines the dynamic interactions among return volatilities, volume, and market depth for five currency futures markets. We use vector auto...",

year = "1999",

month = jan,

day = "1",

doi = "10.1016/S1042-4431(98)00035-3",

language = "American English",

volume = "9",

journal = "Journal of International Financial Markets, Institutions and Money",

}

TY - JOUR

T1 - The Dynamic Relationship of Volatility, Volume, and Market Depth in Currency Futures Markets

AU - Fung, Hung-Gay

AU - Patterson, Gary A.

N1 - This study examines the dynamic interactions among return volatilities, volume, and market depth for five currency futures markets. We use vector auto...

PY - 1999/1/1

Y1 - 1999/1/1

UR - https://www.sciencedirect.com/science/article/pii/S1042443198000353

U2 - 10.1016/S1042-4431(98)00035-3

DO - 10.1016/S1042-4431(98)00035-3

M3 - Article

VL - 9

JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

ER -

The Dynamic Relationship of Volatility, Volume, and Market Depth in Currency Futures Markets

Disciplines

Access to Document

Other files and links

Cite this