✦ LIBER ✦

Futures in the Memories Market

✍ Scribed by Hoffman, Nina Kiriki

Book ID: 106815991
Tongue: English
Weight: 9 KB
Category: Fiction

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

True or spurious long memory in volatili

True or spurious long memory in volatility: Further evidence on the energy futures markets

✍ Charfeddine, Lanouar 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 721 KB

Multi-market trading in the Eurodollar f

Multi-market trading in the Eurodollar futures market

✍ Yiuman Tse; Paramita Bandyopadhyay 📂 Article 📅 2006 🏛 Springer US 🌐 English ⚖ 573 KB

Long memory in energy futures markets: F

Long memory in energy futures markets: Further evidence

✍ Yudong Wang; Chongfeng Wu 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 777 KB

Causality in the VIX futures market

✍ Jinghong Shu; Jin E. Zhang 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 327 KB

## Abstract This study examines the price‐discovery function and information efficiency of a fast growing volatility futures market: the Chicago Board of Option Exchange VIX futures market. A linear Engle–Granger cointegration test with an error correction mechanism (ECM) shows that during the full

Futures option expirations and volatilit

Futures option expirations and volatility in the stock index futures market

✍ G. D. Hancock 📂 Article 📅 1991 🏛 John Wiley and Sons 🌐 English ⚖ 748 KB

Information revelation in the futures ma

Information revelation in the futures market: Evidence from single stock futures

✍ Kuldeep Shastri; Ramabhadran S. Thirumalai; Chad J. Zutter 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 293 KB

## Abstract This paper analyzes 31 months of data on 137 single‐stock futures (SSFs) traded on OneChicago. The results indicate that on the days they trade, SSFs contribute approximately 24% of the price discovery for underlying stocks. Information revelation in the SSFs market decreases with the r