Intraday relationships between volatility in S&P 500 futures prices and volatility in the S&P 500 index
- 31 August 1990
- journal article
- Published by Elsevier in Journal of Banking & Finance
- Vol. 14 (2-3) , 373-397
- https://doi.org/10.1016/0378-4266(90)90055-7
Abstract
No abstract availableThis publication has 21 references indexed in Scilit:
- The October 1987 S&P 500 Stock-Futures BasisThe Journal of Finance, 1989
- A Theory of Intraday Patterns: Volume and Price VariabilityThe Review of Financial Studies, 1988
- Investigation of a lead‐lag relationship between spot stock indices and their futures contractsJournal of Futures Markets, 1987
- Trading Mechanisms and Stock Returns: An Empirical InvestigationThe Journal of Finance, 1987
- Some determinants of the volatility of futures pricesJournal of Futures Markets, 1985
- The pricing of stock index futuresJournal of Futures Markets, 1983
- Estimating Regression Models of Finite but Unknown OrderInternational Economic Review, 1981
- Testing the exogeneity specification in the complete dynamic simultaneous equation modelJournal of Econometrics, 1978
- Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent VariablesEconometrica, 1970
- Investigating Causal Relations by Econometric Models and Cross-spectral MethodsEconometrica, 1969