Intraday return and volatility relationships between the Ibex 35 spot and futures markets
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KeywordsFutures; stock index; conditional heteroskedasticity; market interactions;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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