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Return and Volatility Transmission in U.S. Housing Markets

โœ Scribed by Hong Miao; Sanjay Ramchander; Marc W. Simpson


Book ID
109174856
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
282 KB
Volume
39
Category
Article
ISSN
1080-8620

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Mid-day volatility spikes in U.S. future
โœ Scott Docking, Diane; Kawaller, Ira G.; Koch, Paul D. ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 460 KB ๐Ÿ‘ 2 views

Recent work offers mixed results regarding the nature of intraday volatility patterns in futures markets and, specifically, the existence of spikes in futures return volatility during the middle of the U.S. trading day (Crain & Lee, 1995;Kawaller, Koch, & Peterson, 1994). This note analyzes time and