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
Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico
β Scribed by Maosen Zhong; Ali F. Darrat; Rafael Otero
- Book ID
- 116614475
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 238 KB
- Volume
- 28
- Category
- Article
- ISSN
- 0378-4266
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