𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Intraday return and volatility relationships between the Ibex 35 spot and futures markets

✍ 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.


πŸ“œ SIMILAR VOLUMES


Temporal relationships and dynamic inter
✍ Koutmos, Gregory; Tucker, Michael πŸ“‚ Article πŸ“… 1996 πŸ› John Wiley and Sons 🌐 English βš– 802 KB

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.

Intraday volatility in the bond, foreign
✍ Valeria Martinez; Yiuman Tse πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 359 KB πŸ‘ 1 views

## Abstract Intraday volatility for the Eurodollar, the Euro/dollar foreign exchange rate, and the E‐mini S&P 500 futures contracts traded on a continuous 23‐hour schedule on the Chicago Mercantile Exchange Globex electronic platform is studied. Volatility transmission in a single market across dif

Intertemporal volatility and price inter
✍ Sim, Ah-Boon; Zurbreugg, Ralf πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 262 KB πŸ‘ 2 views

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

Futures trading, spot market volatility,
✍ Bae, Sung C. (author);Kwon, Taek Ho (author);Park, Jong Won (author) πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 182 KB πŸ‘ 2 views

## 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 non‐KOSPI 200 stocks. Employing both an event study approach and a matching‐sampl