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Efectos sobre la volatilidad del mercado bursátil de la introducción de los contratos de futuros y opciones sobre el índice IBEX-35

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  • Roberto Blanco

    (Banco de España)

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  • Roberto Blanco, 2000. "Efectos sobre la volatilidad del mercado bursátil de la introducción de los contratos de futuros y opciones sobre el índice IBEX-35," Investigaciones Economicas, Fundación SEPI, vol. 24(1), pages 139-175, January.
    • Handle: RePEc:iec:inveco:v:24:y:2000:i:1:p:139-175
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    References listed on IDEAS

    as
    1. Juan Ayuso & Soledad Núñez & María Pérez-Jurado, 1996. "Volatility in Spanish Financial Markets: The Recent Experience," Working Papers 9601, Banco de España.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Brad Baldauf & G. J. Santoni, 1991. "Stock price volatility: Some evidence from an ARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(2), pages 191-200, April.
    4. V. V. Chari & Ravi Jagannathan & Larry Jones, 1990. "Price Stability and Futures Trading in Commodities," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 105(2), pages 527-534.
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    Cited by:

    1. Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.

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