Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - 2016 - Revised: February 2016
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 … spillovers, and dynamic conditional correlations and covariances, show that the relationships between the stock market and …
