Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?

DOI10.1287/mnsc.43.11.1564zbMath0902.90004OpenAlexW2040343460MaRDI QIDQ4392519

Yiuman Tse, Teppo Martikainen, Mustafa Kamal Chowdhury, G. Geoffrey Booth

Publication date: 8 June 1998

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.43.11.1564

zbMATH Keywords

vector autoregressionstock index futuresextreme-value estimatorsintraday price volatility

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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