Temporal aggregation, volatility components and volume in high frequency UK bond futures /
McMillan, David G.
Speight, Alan E. H.
University of St. Andrews.Department of Economics.
University of St. Andrews.Centre for Research into Industry, Enterprise, Finance and the Firm.
St. Andrews : St. Salvator's College,
1998.
Includes bibliographical references.
Futures market
Heteroscedasticity.