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| Tekijä: | Franses, P. |
| Otsikko: | Volatility transmission and patterns in bound futures |
| Lehti: | Journal of Financial Research
1997 : WINTER, VOL. 20:4, p. 459-482 |
| Asiasana: | VOLATILITY FUTURE RESEARCH |
| Kieli: | eng |
| Tiivistelmä: | The authors analyze intraday volatility behavior for the Bund futures contract that is traded simultaneously at two competing exchanges. They investigate the transmission of volatility between the exchanges. They find that the lead/lag relations are restricted to a few minutes and do not reveal a dominant leader. They then analyze patterns in intraday volatility. They find that volatility behaves similarly at both exchanges; i.e., it decreases from the opening until early afternoon and increases thereafter. |
SCIMA