The Effect Of Futures Trading Activity On The Distribution Of Spot Market Returns
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Abdul Hakim & Michael McAleer, 2009.
"VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds,"
CIRJE-F-676, CIRJE, Faculty of Economics, University of Tokyo.
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- Hakim, M.S. & McAleer, M.J., 2009. "VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds," Econometric Institute Research Papers EI 2009-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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"Introducing the mini-futures contract on Ibex 35: implications for price discovery and volatility transmission,"
Spanish Economic Review,
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- Juan A. Lafuente & Manuel Illueca Muñoz, 2004. "Introducing The Mini-Futures Contract On Ibex-35: Implications For Price Discovery And Volatility Transmission," Working Papers. Serie EC 2004-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
More about this item
KeywordsMercados de Futuros; Transmisión de volatilidad; Estimación kernel Futures markets; Volatility transmission; Kernel smoothing;
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