Browsing Departament: Finances i Comptabilitat by Source "Journal of Derivatives & Hedge Funds, 15, 2, p. 116–121"
Now showing items 1-1 of 1
-
Intraday realised volatility relationships between the S&P 500 spot and futures market
Palgrave Macmillan (2009)In this paper, we provide additional evidence on the intraday lead-lag relationship in the S&P 500 stock index futures market. In particular, we focus on the dynamic interactions of market volatility. In contrast to previous ...