Ballocchi, Giuseppe; Dacorogna, Michael; Gençay, Ramazan; … - In: Studies in Nonlinear Dynamics & Econometrics 4 (2001) 4
This article reports a new seasonality in the volatility of Eurofutures contracts as a function of the time left before … specific dates, with typically one expiry per quarter for Eurofutures, leads to a new type of volatility seasonality as a … function of the time left to expiry for the contract in question. The intraday volatility, averaged over the Eurofutures …