Time-to-Expiry Seasonalities in Eurofutures

DOI10.2202/1558-3708.1066zbMath1079.91551OpenAlexW2038958134MaRDI QIDQ3368262

Michel M. Dacorogna, Ramazan Gençay, Barbara Piccinato, Giuseppe Ballocchi

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1066

zbMATH Keywords

intraday volatilityEurofuturesintraday seasonalitytime-to-expiry seasonality

Mathematics Subject Classification ID

Economic growth models (91B62)

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