Contemporaneous intraday volume, option, and futures volatility transmissions across parallel markets

International Review of Financial Analysis

Volumn 12, Issue 1, 2003, Pages 49-68

  Chng, Michael ^a   Gannon, Gerard ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Out of sample forecast; Simultaneous effects; Volatility transmission

Indexed keywords

EID: 0037240135     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(02)00127-8     Document Type: Article

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