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International hedge ratios for index futures market : a simultaneous equations approach

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The international price transmission in stock index futures markets

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Testing the monotonicity property of option prices

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Intraday Volatility in International Stock Index Futures Markets : Meteor Showers or Heat Waves?

Booth, G. Geoffrey; Chowdhury, Mustafa; Martikainen, Teppo - 2022

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...

Persistent link: https://www.econbiz.de/10013309647