Booth, G. Geoffrey; Chowdhury, Mustafa; Martikainen, Teppo - In: Management Science 43 (1997) 11, pp. 1564-1576
The international transmission of intraday price volatility among the United States, United Kingdom, and Japanese stock index futures markets in the period 1988--1994 is investigated in this paper. The empirical results based on extreme-value estimators and vector autoregression indicate the...
