| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5085071 | International Review of Financial Analysis | 2012 | 12 Pages |
Abstract
⺠We study the conditional variance and correlation of FTSE spot and futures prices. ⺠Negative shocks have a larger impact on the variance than positive shocks. ⺠Risk premium and momentum effects are both evident. ⺠The conditional correlations increase over time and then level off. ⺠The conditional correlations decline temporarily following contract expiration.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Juan Tao, Christopher J. Green,