The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the US, the UK, and Taiwan

Chia-Ying Chan, Christian de Peretti, Ming-Chun Wang and Hong-Min Chen

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Date: 2017-10
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Published in Asia-Pacific Journal of Financial Studies, 2017, 46 (5), pp.700-733. ⟨10.1111/ajfs.12185⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02103954

DOI: 10.1111/ajfs.12185

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