Chou, Heng-Chih; Zaabar, Rim; Wang, David - In: Applied Economics 45 (2013) 2, pp. 225-238
This article investigates the long-term impact of the 11 September 2001 terrorist attacks on the maturity, volume and open interest effects for the S&P 500 index futures contracts. Adopting Chou (2005a, b)'s range-based volatility models, this article provides a number of interesting results....