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Advanced purchasing, spillovers and innovative discovery

✍ Scribed by Gunnar Eliasson


Publisher
Springer-Verlag
Year
2010
Tongue
English
Weight
309 KB
Volume
21
Category
Article
ISSN
0936-9937

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The Dow Jones Industrial Average (DJIA) is the most widely quoted stock index worldwide. This article examines the minute-by-minute price discovery process and volatility spillovers between the DJIA index and the index futures recently launched by the CBOT. The Hasbrouck (1995) cointegrating model s