Cross-Market Spillovers with ‘Volatility Surprise’
Year of publication: |
2014
|
---|---|
Authors: | Chevallier, Julien ; Aboura, Sofiane |
Institutions: | EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) |
Subject: | Cross-market relationships | Volatility surprise | Volatility spillover | ADCCX | Asset management |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2014-46 35 pages |
Classification: | C32 - Time-Series Models ; C4 - Econometric and Statistical Methods: Special Topics ; G15 - International Financial Markets |
Source: |
-
Cross-Market Spillovers with 'Volatility Surprise'
Aboura, Sofiane, (2014)
-
Cross-Market Spillovers with Volatility Surprise
Aboura, Sofiane, (2014)
-
Cross-market spillovers with ‘volatility surprise’
Aboura, Sofiane, (2014)
- More ...
-
On the volatility-volume relationship in energy futures markets using intraday data
Chevallier, Julien, (2011)
-
Chèze, Benoît, (2012)
-
Chevallier, Julien, (2008)
- More ...