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Does futures trading increase stock market volatility? : The US, Japan, the UK, and Hong Kong
Yi, Sang-bin - In: Review of futures markets 11 (1994) 3, pp. 253-288
Persistent link: https://www.econbiz.de/10001185970
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An empirical examination of information, differences of opinion, and trading activity
Bessembinder, Hendrik - In: Journal of financial economics 40 (1996) 1, pp. 105-134
Persistent link: https://www.econbiz.de/10001192319
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Margin requirements, volatility, and market integrity : what have we learned since the crash?
Kupiec, Paul H. - In: Journal of financial services research : JFSR 13 (1998) 3, pp. 231-255
Persistent link: https://www.econbiz.de/10001250344
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Intraday futures volatility and theories of market behavior
Daigler, Robert T. - In: The journal of futures markets 17 (1997) 1, pp. 45-74
Persistent link: https://www.econbiz.de/10001216344
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A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong - In: Journal of econometrics 72 (1996) 1, pp. 33-48
Persistent link: https://www.econbiz.de/10001198033
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Derivative Produkte auf Volatilität : zum empirischen Verhalten eines Volatilitätsindex
Grünbichler, Andreas - In: Journal of business economics : JBE 66 (1996) 5, pp. 607-625
Persistent link: https://www.econbiz.de/10001200089
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The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures...
Paul, Muthucattu Thomas; Kimata, James D. - In: Applied economics 48 (2016) 7/9, pp. 669-683
Persistent link: https://www.econbiz.de/10011413991
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Dynamical volatility and correlation among US stock and treasury bond cash and futures markets in presence of financial crisis : a copula approach
Liu, Hsiang-Hsi; Wang, Teng-Kun; Li, Weny - In: Research in international business and finance 48 (2019), pp. 381-396
Persistent link: https://www.econbiz.de/10012135956
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Testing momentum effectfor the US market : from equity to option strategies
Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017
Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …
Persistent link: https://www.econbiz.de/10011757486
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Modelling and trading the U.S. implied volatility indices : evidence from the VIX, VXN and VXD indices
Psaradellis, Ioannis; Sermpinis, Georgios - In: International journal of forecasting 32 (2016) 4, pp. 1268-1283
Persistent link: https://www.econbiz.de/10011622149