Listar COFIN_Articles por fuente "Quantitative Finance, 2019, p. 1-19"
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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 ...