Spot market volatility and futures trading : the pitfalls of using a dummy variable approach
Martin T. Bohl, Jeanne Diesteldorf, Christian A. Salm and Bernd Wilfling
| Year of publication: |
January 2016
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|---|---|
| Authors: | Bohl, Martin T. ; Diesteldorf, Jeanne ; Salm, Christian ; Wilfling, Bernd |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 36.2016, 1, p. 30-45
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| Subject: | Indexderivat | Index derivative | Volatilität | Volatility | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Deutschland | Germany | Japan | USA | United States | Frankreich | France | 1977-1990 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.21723 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011567524