Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis
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DOI: 10.1016/j.irfa.2021.101706
Abstract: Abstract We study the simultaneity impact of the European Central Bank news on the daily realized volatility transmission mechanism (spillovers) among various US spot and futures markets. To this end, we apply a bias-corrected vector… read more here.
Keywords: ecb news; news; realized volatility; spot futures ... See more keywords