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  • Search: subject:"Desestabilización del mercado de contado Futures Markets"
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Subject
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Desestabilización del mercado de contado Futures Markets 1 Mercados de futuros 1 Realized volatility 1 Volatilidad realizada 1 spot market destabilization 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Lafuente, Juan A. 1 Muñoz, Manuel Illueca 1
Institution
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Instituto Valenciano de Investigaciones Económicas (IVIE) 1
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Working Papers. Serie EC 1
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RePEc 1
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NEW EVIDENCE ON EXPIRATION-DAY EFFECTS USING REALIZED VOLATILITY: AN INTRADAY ANALYSIS FOR THE SPANISH STOCK EXCHANGE
Lafuente, Juan A.; Muñoz, Manuel Illueca - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2006
In this paper we provide additional evidence on expiration effects in the Ibex 35 stock index futures market using realized volatility as proposed in Andersen et al. (2003, Econometrica 71, 529-626). Our findings reveal not only a significant increase in spot trading activity, but also the...
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