ListarDepartament: Finances i Comptabilitat por tema "dynamic interactions"
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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 ...