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

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

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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",

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

language = "American English",

volume = "9",

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

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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

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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

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