Price Discovery and Volatility Spillovers in Index Futures Markets: Some Evidence from Mexico

By M. Zhong, A. F. Darrat, Rafael F. Otero. 2004

224 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cc24e9821619a0e3d8c0a8964d2d0b54b9588858

Citations in the corpus

• Asymmetric Effect of Basis on Dynamic Futures Hedging: Empirical Evidence from Commodity Markets (2008, unknown): “The effect of basis on the variance-covariance structure is however mostly overlooked.1 Ng and Pirrong (1994), Lee (1994), and Zhong et al. (2004) find that spot and futures prices become more volatile and less correlated as basis gets larger, suggesting that the MVHR should be altered as…”