Intradaily Periodicity and Volatility Spillovers between International Stock Index Futures Markets

Intradaily Periodicity and Volatility Spillovers between International Stock Index Futures Markets

This paper examines short-run information transmission between the U.S. and U.K. markets using the S&P 500 and FTSE 100 index futures. Ultrahighfrequency futures data are employed - which have a number of advantages over the low-frequency spot data commonly used in previous studies - in establis...

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書目詳細資料
Main Authors:	WU, Chunchi, LI, Jinliang, ZHANG, Wei
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2005
主題:	Business Finance and Financial Management Portfolio and Security Analysis
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/787
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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