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Dynamic spillover effects in futures markets : UK and US evidence

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Dynamic Spillover Effects in Futures Markets

Antonakakis, Nikolaos; Kizys, Renatas; Floros, Christos - Volkswirtschaftliche Fakultät, … - 2014

study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility … and UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature …

Persistent link: https://www.econbiz.de/10011111958