Booth, G. Geoffrey; So, Raymond - In: Applied Financial Economics 13 (2003) 7, pp. 487-494
This paper examines the intraday information transmission process among the Deutscher Aktienindex (DAX), DAX futures and DAX options in Germany. Using the extreme value volatility approach developed in Booth et al. (1997, Management Science, 43, 1564-1576), the volatilities of the three markets...