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The innovations of e-mini contracts and futures price volatility components: The empirical investigation of S&P 500 stock index futures

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  • Tu, Anthony H.
  • Wang, Ming-Chun

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  • Tu, Anthony H. & Wang, Ming-Chun, 2007. "The innovations of e-mini contracts and futures price volatility components: The empirical investigation of S&P 500 stock index futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 198-211, April.
    • Handle: RePEc:eee:intfin:v:17:y:2007:i:2:p:198-211
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    1. Fabienne Comte & Eric Renault, 1998. "Long memory in continuous‐time stochastic volatility models," Mathematical Finance, Wiley Blackwell, vol. 8(4), pages 291-323, October.
    2. Nicolas P. B. Bollen & Tom Smith & Robert E. Whaley, 2003. "Optimal contract design: For whom?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(8), pages 719-750, August.
    3. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
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    5. Shleifer, Andrei & Summers, Lawrence H, 1990. "The Noise Trader Approach to Finance," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 19-33, Spring.
    6. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comments: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 413-417, October.
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    8. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
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    15. Phil Holmes & Mark Tomsett, 2004. "Information and Noise in U.K. Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(8), pages 711-731, August.
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    18. Stephen J. Taylor, 1994. "Modeling Stochastic Volatility: A Review And Comparative Study," Mathematical Finance, Wiley Blackwell, vol. 4(2), pages 183-204, April.
    19. Black, Fischer, 1986. "Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-543, July.
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    Cited by:

    1. Sandip Dutta & Subhash C Sharma, 2012. "Daytime vs. Overnight Trading in Equity Index Futures Markets," Accounting and Finance Research, Sciedu Press, vol. 1(2), pages 1-13, November.
    2. Greppmair, Stefan & Theissen, Erik, 2019. "Small is beautiful? How the introduction of mini futures contracts affects the regular contract," CFR Working Papers 19-06, University of Cologne, Centre for Financial Research (CFR).
    3. Greppmair, Stefan & Theissen, Erik, 2022. "Small is beautiful? How the introduction of mini futures contracts affects the regular contracts," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 19-38.

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