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Intraday realised volatility relationships between the S&P 500 spot and futures market
dc.contributor.author | Lafuente-Luengo, Juan Angel | |
dc.date.accessioned | 2014-06-23T09:36:37Z | |
dc.date.available | 2014-06-23T09:36:37Z | |
dc.date.issued | 2009 | |
dc.identifier.issn | 1753-9641 | |
dc.identifier.uri | http://hdl.handle.net/10234/95617 | |
dc.description.abstract | 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 studies, we follow Andersen et al by using realised volatility to estimate market volatility. The empirical findings support the existence of a unidirectional causal relationship between futures market volatility and spot market volatility, suggesting that the arrival of new information disseminates faster in the derivative market. | ca_CA |
dc.format.extent | 6 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Palgrave Macmillan | ca_CA |
dc.relation.isPartOf | Journal of Derivatives & Hedge Funds, 15, 2, p. 116–121 | ca_CA |
dc.rights | Copyright 2009 Palgrave Macmillan | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | * |
dc.subject | realised volatility | ca_CA |
dc.subject | spot | ca_CA |
dc.subject | futures | ca_CA |
dc.subject | dynamic interactions | ca_CA |
dc.subject | price discovery | ca_CA |
dc.title | Intraday realised volatility relationships between the S&P 500 spot and futures market | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.identifier.doi | http://dx.doi.org/10.1057/jdhf.2009.8 | |
dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | ca_CA |
dc.relation.publisherVersion | http://www.palgrave-journals.com/jdhf/journal/v15/n2/abs/jdhf20098a.html | ca_CA |
dc.type.version | info:eu-repo/semantics/publishedVersion |
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