Intraday volatility in the bond, foreign
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Valeria Martinez; Yiuman Tse
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Article
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2008
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John Wiley and Sons
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English
β 359 KB
π 1 views
## 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