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Estimating the volatility of S&P 500 futures prices using the extreme‐value method

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  • James B. Wiggins

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  • James B. Wiggins, 1992. "Estimating the volatility of S&P 500 futures prices using the extreme‐value method," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(3), pages 265-273, June.
    • Handle: RePEc:wly:jfutmk:v:12:y:1992:i:3:p:265-273
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    Cited by:

    1. Manoj Dalvi & James Refalo & Golak Nath, 2010. "The effect of settlement regimes on trading cost and market efficiency: evidence from the National Stock Exchange," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 3(1), pages 119-130.
    2. Ganneval, S., 2016. "Spatial price transmission on agricultural commodity markets under different volatility regimes," Economic Modelling, Elsevier, vol. 52(PA), pages 173-185.
    3. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    4. Eduardo Rossi & Paolo Santucci de Magistris, 2013. "A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(1), pages 77-102, January.
    5. Alex Frino & Riccardo Palumbo & Francesco Capalbo & Dionigi Gerace & Vito Mollica, 2013. "Information Disclosure and Stock Liquidity: Evidence from Borsa Italiana," Abacus, Accounting Foundation, University of Sydney, vol. 49(4), pages 423-440, December.
    6. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, Department of Economics and Business Economics, Aarhus University.
    7. Alex Frino & Stewart Jones & Jin Boon Wong, 2007. "Market behaviour around bankruptcy announcements: evidence from the Australian Stock Exchange," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(4), pages 713-730, December.

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