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16-006/III - Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?


  • Authors
    Massimiliano Caporin, University of Padova, Italy; Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain.
  • Publication date
    February 1, 2016
  • Keywords
    Trading range, Intra-day prices and returns, S&P 500 Index, Crude oil futures, Natural gas futures, Ethanol futures, Overnight returns, Overnight volume, Overnight realized volatility, Asymmetry, Spillovers
  • JEL
    C22, C32, C58, G12, G15