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Open and closed positions and stock index futures volatility
Carchano, Óscar; Lucia, Julio; Pardo, ÁngelIn this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized...
Pricing intraday dynamics across EUAS and CERS markets
Medina, Vicente; Pardo, Ángel; Pascual, RobertoThe relative contribution of European Union Allowances (EUAs) and Certified Emission Reductions (CERs) to the price discovery of their common true value has been empirically studied using daily data with inconclusive results. In this paper, we study the short-run and long-run price dynamics between EUAs and CERs future contracts using intraday data. We report a bidirectional feedback causality relationship both...
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