Dufour, Jean-Marie; García, René; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008
causality, we consider vector autoregressive models of returns and realized volatility and we measure these effects along with … opposed to simple correlations. We analyze 5-minute observations on S&P 500 Index futures contracts, the associated realized … volatilities (before and after filtering jumps through the bispectrum) and implied volatilities. Using only returns and realized …