intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of … intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy … futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four …

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the …