On Speculation, Index Futures Markets, and the Link Between Market Volatility and Investor Welfare

1996 ◽  
Vol 31 (2) ◽  
pp. 227-263 ◽  
Author(s):  
Avanidhar Subrahmanyam
Keyword(s):  
Futures Markets ◽  
Market Volatility ◽  
Index Futures

Simultaneous Volatility Transmission and Spillover Effects

2010 ◽  
Vol 13 (01) ◽  
pp. 127-156 ◽  
Author(s):  
Gerard L. Gannon
Keyword(s):  
Futures Markets ◽  
Spillover Effects ◽  
The United States ◽  
Market Volatility ◽  
Multivariate Garch ◽  
Index Futures ◽  
Volatility Transmission ◽  
Volatility Models ◽  
Volatility Model ◽  
Intraday Data

Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and index futures markets. Overnight volatility spillover effects from the United States S&P500 index futures markets are tested using alternative estimates of this US market volatility. The simultaneous volatility model proves to be robust to alternative specifications of returns equations and to misspecification of the direction of volatility causality.

scholarly journals Assessing the Profitability of Timely Opening Range Breakout on Index Futures Markets

IEEE Access ◽  
2019 ◽  
Vol 7 ◽  
pp. 32061-32071 ◽  
Author(s):  
Yi-Cheng Tsai ◽  
Mu-En Wu ◽  
Jia-Hao Syu ◽  
Chin-Laung Lei ◽  
Chung-Shu Wu ◽  
...  
Keyword(s):  
Futures Markets ◽  
Index Futures
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