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Volatility and correlation in international stock markets and the role of exchange rate fluctuations

✍ Scribed by Kyung-Chun Mun

Book ID
116575222
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
931 KB
Volume
17
Category
Article
ISSN
1042-4431

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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