Time-to-Expiry Seasonalities in Eurofutures

DOI10.2202/1558-3708.1066MaRDI QIDQ3368262zbMATHOpenAlexFDO

Authors Giuseppe Ballocchi, Michel M. Dacorogna, Ramazan Gençay, Barbara Piccinato

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1066

zbMATH Keywords

intraday volatilityEurofuturesintraday seasonalitytime-to-expiry seasonality

Mathematics Subject Classification ID

Economic growth models (91B62)

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Cited in

(1)

• On the seasonality in the implied volatility of electricity options

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