Stochastic dominance relationships between stock and stock index futures markets: International evidence
โ Scribed by Qiao, Zhuo; Wong, Wing-Keung; Fung, Joseph K.W.
- Book ID
- 120408829
- Publisher
- Elsevier Science
- Year
- 2013
- Tongue
- English
- Weight
- 385 KB
- Volume
- 33
- Category
- Article
- ISSN
- 0264-9993
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
This study examined whether the inclusion of an appropriate stochastic volatility that captures key distributional and volatility facets of stock index futures is sufficient to explain implied volatility smiles for options on these markets. I considered two variants of stochastic volatility models r
This paper examines short-run information transmission between the U.S. and U.K. markets using the S&P 500 and FTSE 100 index futures. Ultrahigh-frequency futures data are employed-which have a number of advantages over the low-frequency spot data commonly used in previous studies-in establishing th
rading in financial fumes currently accounts for roughly 35% of all futures T contracts, and it promises to become an even larger share of the market. Among those assets in which futures contracts are now traded are stock indices. Futures contracts on the Vdue4he Composite Average opened on Februar