Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Massimiliano Caporin, Chia-Lin Chang, Michael McAleer
| Year of publication: |
2019
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|---|---|
| Authors: | Caporin, Massimiliano ; Chang, Chia-Lin ; McAleer, Michael |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 59.2019, p. 50-70
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| Subject: | Crude oil futures | Asymmetry | Day-night realized volatility | Day-night returns | Day-night volume | Ethanol futures | Intra-day prices and returns | Natural gas futures | S&P 500 index | Spillovers | Trading range | Volatilität | Volatility | Erdgas | Natural gas | Spillover-Effekt | Spillover effect | Erdöl | Petroleum | Handelsvolumen der Börse | Trading volume | Aktienindex | Stock index | Kapitalmarktrendite | Capital market returns | Rohstoffderivat | Commodity derivative | Alkohol | Alcohol | Energiehandel | Energy trade | Index-Futures | Index futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2018.08.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012202481