𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Daily volatility behavior in Chinese futures markets

✍ Scribed by Kam C Chan; Hung-Gay Fung; Wai K Leung


Book ID
116575163
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
124 KB
Volume
14
Category
Article
ISSN
1042-4431

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Persistence of volatility in futures mar
✍ Zhiyao Chen; Robert T. Daigler; Ali M. Parhizgari πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 266 KB

This article examines the characteristics of key measures of volatility for different types of futures contracts to provide a better foundation for modeling volatility behavior and derivative values. Particular attention is focused on analyzing how different measures of volatility affect volatility

Risk premia and price volatility in futu
✍ Jisoo Yoo; G. S. Maddala πŸ“‚ Article πŸ“… 1991 πŸ› John Wiley and Sons 🌐 English βš– 705 KB

Another major economic function of the futures market is a price discovery role. Futures price for a commodity represents all the information about the future cash price. So, economic agents make plans and decisions by looking at the futures price. Jisoo Yo0 is an Assistant professor o f Economics

Realized volatility and correlation in e
✍ Tao Wang; Jingtao Wu; Jian Yang πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 273 KB

## Abstract Using high‐frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry‐Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non‐Gaussian, whereas the distributions of t