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The distribution of index futures realised volatility under seasonality and microstructure noise
(Elsevier, 2020-09-01)
Previous research documents that the distribution of realised volatility appears approximately log-normal. However, formal tests reject normality fairly convincingly, which may indicate intrinsic features in the intraday ...
Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models
(Elsevier, 2020-04-08)
This paper analyzes the impact of arbitrage opportunity changes on the price discovery process between the DAX30 index and the DAX30 index future within a short time scale. To this end, we use 5-min data, regime-switching ...
Optimal Beats Naive Diversification: Asset Allocation Using High-Frequency Data
(Pageant Media Ltd, 2020-09-20)
This article evaluates the usefulness of high-frequency data in optimal portfolio choice. The authors use a comprehensive list of major stock indexes and different frequencies of observations. Furthermore, they consider ...
The influence of intraday seasonality on volatility transmission patterns
(Taylor & Francis, 2018)
Using data on a five-minute interval basis, this article analyses the effects of intraday
seasonality on volatility transmission between the spot and futures markets of the
CAC40, DAX30 and FTSE100. Remarkable differences ...