Intraday return and volatility relationships between the Ibex 35 spot and futures markets
β Scribed by Juan A. Lafuente
- Book ID
- 106276359
- Publisher
- Springer
- Year
- 2002
- Tongue
- English
- Weight
- 174 KB
- Volume
- 4
- Category
- Article
- ISSN
- 1435-5469
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
CCC 0270-731 4/96/01 0055-1 5 'The univariate Exponential GARCH model (EGARCH) was suggested by Nelson (1991) as a means of modeling the tendency of stock market returns to be more volatile in periods following market declines.
## 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
Previous studies have examined causality within and between different spot and futures markets with a motivation to discover market comovements, price leadership effects, and, more recently, volatility spillovers across markets. However, the empirical framework within which this is accomplished tend
## Abstract We examine the effect of the introduction of index futures trading in the Korean markets on spot price volatility and market efficiency of the underlying KOSPI 200 stocks, relative to the carefully matched nonβKOSPI 200 stocks. Employing both an event study approach and a matchingβsampl