Chuliá, Helena; Torró, Hipòlit - In: Journal of Futures Markets 28 (2008) 11, pp. 1066-1094
This study has two main objectives. Firstly, volatility transmission between stocks and bonds in European markets is studied using the two most important financial assets in these fields: the DJ Euro Stoxx 50 index futures contract and the Euro Bund futures contract. Secondly, a trading rule for...