𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On jump processes in the foreign exchange and stock markets

✍ Scribed by Jorion, P.

Book ID
111878403
Publisher
Oxford University Press
Year
1988
Tongue
English
Weight
962 KB
Volume
1
Category
Article
ISSN
0893-9454

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## 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