Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Massimiliano Caporin (Department of Economics and Management “Marco Fanno”, University of Padova, Italy), Chia-Lin Chang (Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan), Michael McAleer (Department of Quantitative Finance, National Tsing Hua University, Taiwan and Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute, The Netherlands and Department of Quantitative Economics, Complutense University of Madrid, Spain)
| Year of publication: |
February 2016
|
|---|---|
| Authors: | Caporin, Massimiliano ; Chang, Chia-Lin ; McAleer, Michael |
| Publisher: |
[Rotterdam] : [Econometric Institute, Erasmus School of Economics] |
| Subject: | Energiehandel | Energy trade | Erdöl | Petroleum | Erdgas | Natural gas | Alkohol | Alcohol | Aktienindex | Stock index | Handelsvolumen der Börse | Trading volume | Kapitalmarktrendite | Capital market returns | Volatilität | Volatility | Spillover-Effekt | Spillover effect |
freely available