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Liquidity, volume and volatility in US electricity futures : the case of Palo Verde
Goss, Barry A. - In: Applied financial economics letters 2 (2006) 1, pp. 43-46
Persistent link: https://www.econbiz.de/10003301824
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The impact of a dealer's failure on OTC derivatives market liquidity during volatile periods
Wall, Larry D.; Tallman, Ellis W.; Abken, Peter A. - In: Research in banking and finance 1 (2000), pp. 177-198
Persistent link: https://www.econbiz.de/10001684612
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Liquidity supply and volatility : futures market evidence
Locke, Peter R.; Sarkar, Asani - In: The journal of futures markets 21 (2001) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10001537231
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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
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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
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Carbon future price return, oil future price return and stock index future price return in the U.S.
Wei, Ching Chun; Lin, Ya-Ling - In: International Journal of Energy Economics and Policy : IJEEP 6 (2016) 4, pp. 655-662
Persistent link: https://www.econbiz.de/10011550607
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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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Macroeconomic surprises and short-term behaviour in bond futures
Veredas, David - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 843-866
Persistent link: https://www.econbiz.de/10003233767
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Futures trading activity and stock price volatility : some extensions
Chatrath, Arjun; Song, Frank M.; Adrangi, Bahram - In: Applied financial economics 13 (2003) 9, pp. 655-664
Persistent link: https://www.econbiz.de/10001776851
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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