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
Information and volatility in futures and spot markets: The Case of the Japanese yen
β Scribed by Chatrath, Arjun; Song, Frank
- Publisher
- John Wiley and Sons
- Year
- 1998
- Tongue
- English
- Weight
- 285 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0270-7314
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