Time-to-Expiry Seasonalities in Eurofutures
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DOI: 10.2202/1558-3708.1066
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References listed on IDEAS
- C. W. J. Granger & Zhuanxin Ding, 1995. "Some Properties of Absolute Return: An Alternative Measure of Risk," Annals of Economics and Statistics, GENES, issue 40, pages 67-91.
- Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
- repec:adr:anecst:y:1995:i:40:p:04 is not listed on IDEAS
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- Ferland, Rene & Lalancette, Simon, 2006. "Dynamics of realized volatilities and correlations: An empirical study," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2109-2130, July.
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Keywords
Eurofutures; intraday seasonality; intraday volatility; time-to-expiry seasonality;All these keywords.
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