We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...

In this paper we study the intraday dynamics of E-mini S&P 500 index futures and the option trading strategies employing the weekly E-mini S&P 500 index futures options. We make a number of contributions to the literature in the area of intra-day equity index futures return predictability and...