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