Does the introduction of stock index futures effectively reduce stock market volatility? : Is the 'futures effect' immediate? ; Evidence from the Italian stock exchange using GARCH
Pierluigi Bologna and Laura Cavallo
Year of publication: |
2002
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Authors: | Bologna, Pierluigi ; Cavallo, Laura |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 12.2002, 3, p. 183-192
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Subject: | Index-Futures | Index futures | Aktienmarkt | Stock market | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätzung | Estimation | Italien | Italy |
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