Chelley-Steeley, Patricia L. - In: Studies in Economics and Finance 25 (2008) September, pp. 233-252
Purpose – In 2001, Euronext-Liffe introduced single security futures contracts for the first time. The purpose of this paper is to examine the impact that these single security futures had on the volatility of the underlying stocks. Design/methodology/approach – The Inclan and Tiao algorithm...