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  • Search: subject:"frequency domain Granger causality"
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Euronext 1 Volatility 1 frequency domain Granger causality 1 futures index products 1
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Free 1
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Article 1
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ALBULESCU, CLAUDIU TIBERIU 1 Goyeau, Daniel 1 TIWARI, AVIRAL KUMAR 1
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Brussels Economic Review 1
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RePEc 1
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REVISITING THE FINANCIAL VOLATILITY–DERIVATIVE PRODUCTS RELATIONSHIP ON EURONEXT.LIFFE USING A FREQUENCY DOMAIN ANALYSIS
ALBULESCU, CLAUDIU TIBERIU; Goyeau, Daniel; TIWARI, … - In: Brussels Economic Review 56 (2013) 3-4, pp. 349-364
ABSTRACT:The present paper analyses the relationship between the volume of transactions with futuresequity index products and the return volatility of their underlying assets. The study addressesthe case of five stock markets, members of the Euronext.liffe. We employ a frequency domainanalysis...
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