SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Effect of Futures Market Volume on Spot Market Volatility
0 references·7 citing·25 second hop
The Effect of Futures Market Volume on Spot Market Volatility (2001)The Effect of Futures Market Volume on Sp…The Bitcoin volume-volatility relationship: A high frequency analysis of futures and spot exchanges (2023)The Bitcoin volume-volatility…Forecasting stock market volatility using commodity futures volatility information (2021)Forecasting stock market vola…Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model (2020)Stock index futures trading i…Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets (2013)Does Futures Speculation Dest…The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility: Evidence from DAX30 (2011)The Intraday Behaviour of Bid…The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics (2007)The Impact of Universal Stock…The effect of spot and futures trading on stock index market volatility: A nonparametric approach (2003)The effect of spot and future…A Theory of Intraday Patterns: Volume and Price Variability (1988)Trading Volume and Serial Correlation in Stock Returns (1993)New evidence on expiration-day effects usingrealized volatility: An intraday analysis for the Spanish stock exchange (2006)The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach (2008)Critical Values for Cointegration Tests (2010)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Measuring the effect of investor sentiment on liquidity (2020)An Intertemporal Capital Asset Pricing Model (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Drivers of technical trend-following rules' profitability in world stock markets (2013)Positive feedback trading: a review (2014)Do investors feedback trade in the Bitcoin—and why? (2021)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Noise Trader Risk in Financial Markets (1990)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Modeling and Forecasting Realized Volatility (2003)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Differences of Opinion Make a Horse Race (1993)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)The Inefficiency of Bitcoin (2016)
this work references cited by second hop

References

No references inside the corpus for this window.

Cited by

  • 2013Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets70 cited
  • 2007The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics43 cited
  • 2011The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility: Evidence from DAX3041 cited
  • 2003The effect of spot and futures trading on stock index market volatility: A nonparametric approach36 cited
  • 2020Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model27 cited
  • 2023The Bitcoin volume-volatility relationship: A high frequency analysis of futures and spot exchanges25 cited
  • 2021Forecasting stock market volatility using commodity futures volatility information24 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work