The intraday distribution of volatility and the value of wildcard options
Article Abstract:
Wildcard options and intraday volatility on the Financial Times Stock Exchange and the stock exchanges in the US are examined. Results show a major difference between the UK and the USA.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2000
User Contributions:
Comment about this article or add new information about this topic:
Return and volatility dynemics in the FT-SE stock index and stock index futures market
Article Abstract:
A model of stock index future contracts is developed and constructed for the Financial Times Stock Exchange index. The relationship between return leads and lags and stock volatility is also investigated.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1995
User Contributions:
Comment about this article or add new information about this topic:
Volatility and maturity effects in the Nikkei index futures
Article Abstract:
A model for maturity and volatility for both the spot and futures markets is presented. The Nikkei 225 Index is used for the basic analysis.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1999
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Trading and hedging in S&P spot and futures markets using genetic programming. Trading volume, bid-ask spread, and price volatility in futures markets
- Abstracts: Asymmetric information in commodity futures markets: theory and empirical evidence. Time Series Volatility of Commodity Futures Prices