Common volatility in major stock index futures markets
β Scribed by G. Geoffrey Booth; Mustafa Chowdhury; Teppo Martikainen
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 559 KB
- Volume
- 95
- Category
- Article
- ISSN
- 0377-2217
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π SIMILAR VOLUMES
This study examined whether the inclusion of an appropriate stochastic volatility that captures key distributional and volatility facets of stock index futures is sufficient to explain implied volatility smiles for options on these markets. I considered two variants of stochastic volatility models r
## Abstract Intraday volatility for the Eurodollar, the Euro/dollar foreign exchange rate, and the Eβmini S&P 500 futures contracts traded on a continuous 23βhour schedule on the Chicago Mercantile Exchange Globex electronic platform is studied. Volatility transmission in a single market across dif
This paper examines short-run information transmission between the U.S. and U.K. markets using the S&P 500 and FTSE 100 index futures. Ultrahigh-frequency futures data are employed-which have a number of advantages over the low-frequency spot data commonly used in previous studies-in establishing th
## Abstract Using highβfrequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China. Although the Chinese stock index started a sharp decline immediately after the stock in