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Bid-ask spreads in financial futures

Laux, Paul A. - In: The journal of futures markets 12 (1992) 6, pp. 621-634

Persistent link: https://www.econbiz.de/10001133908

Liquidity costs and scalping returns in the corn futures market

Brorsen, B. Wade - In: The journal of futures markets 9 (1989) 3, pp. 225-236

Persistent link: https://www.econbiz.de/10001156270

What explains the recourse of US commercial banks to securitization?

Bensalah, Nesrine; Fedhila, Hassouna - In: Review of accounting & finance 15 (2016) 3, pp. 317-328

Persistent link: https://www.econbiz.de/10011607952

Intraday jumps, liquidity, and U.S. macroeconomic news : evidence from exchange traded funds

Jurdi, Doureige J. - In: Journal of risk and financial management : JRFM 13 (2020) 6/118, pp. 1-20

This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and … ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that …

Persistent link: https://www.econbiz.de/10012305143

Can the evolution of implied volatility be forecasted? : evidence from European and US implied volatility indices

Konstantinidi, Eirini; Skiadopoulos, George; … - In: Journal of banking & finance 32 (2008) 11, pp. 2401-2411

Persistent link: https://www.econbiz.de/10003787217

Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts

Daal, Elton; Farhat, Joseph; Wei, Peihwang - In: Review of financial economics : RFE 15 (2006) 2, pp. 113-128

Persistent link: https://www.econbiz.de/10003328578

Persistence of volatility in futures markets

Chen, Zhiyao; Daigler, Robert T.; Parhizgari, Ali M. - In: The journal of futures markets 26 (2006) 6, pp. 571-594

Persistent link: https://www.econbiz.de/10003319540

The impact of volatility derivatives on S&P500 volatility

Dawson, Paul; Staikouras, Sotiris K. - In: The journal of futures markets 29 (2009) 12, pp. 1190-1213

Persistent link: https://www.econbiz.de/10003900993

Simultaneous volatility transmission and spillover effects

Gannon, Gerard L. - In: Review of Pacific Basin financial markets and policies 13 (2010) 1, pp. 127-156

Persistent link: https://www.econbiz.de/10008857171

An empirical comparison of continuous-time models of implied volatility indices

Dotsis, George; Psychoyios, Dimitris; Skiadopoulos, George - In: Journal of banking & finance 31 (2007) 12, pp. 3584-3603

Persistent link: https://www.econbiz.de/10003604337