Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Year of publication: |
2019
|
---|---|
Authors: | Caporin, Massimiliano ; Chang, Chia-Lin ; McAleer, Michael |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 59.2019, p. 50-70
|
Subject: | Crude oil futures | Asymmetry | Day-night realized volatility | Day-night returns | Day-night volume | Ethanol futures | Intra-day prices and returns | Natural gas futures | S&P 500 index | Spillovers | Trading range | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | Erdgas | Natural gas | Erdöl | Petroleum | Ölpreis | Oil price | Biokraftstoff | Biofuel | Index-Futures | Index futures | Prognose | Forecast | Schätzung | Estimation | Kapitaleinkommen | Capital income | Erdgasmarkt | Natural gas market | ARCH-Modell | ARCH model | Welt | World | Spillover-Effekt | Spillover effect | Zeitreihenanalyse | Time series analysis |
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