New evidence on expiration-day effects using realized volatility: an intraday analysis for the Spanish Stock Exchange
Article Abstract:
Empirical evidence on expiration-day effects in Spanish stock markets, is provided. Effects on spot index fluctuations and realized volatility, are investigated.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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The effect of futures trading on the distribution of spot index returns: implications for CVAR in the Spanish market
Article Abstract:
The analysis of intraday trading data from stock markets, to determine the effect of futures trading on the volatility of the stock markets is presented.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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Is there information in the volatility skew?
Article Abstract:
The utility of the econometric model of the volatility of prices of futures options to predict the trends of stock markets is discussed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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