Browsing by Author "Fassas A.P."

Price discovery in a new futures market: Micro E-mini index futures

Fassas A.P. (2021)

This article revisits the role of futures contracts in price discovery, studying one of the most successful product debuts in derivatives markets, the Micro E-mini index futures. These contracts (sized at the one-tenth of ...

Price discovery in US money market benchmarks: LIBOR vs. SOFR

Fassas A.P. (2021)

This note evaluates the price discovery contribution of the chosen successor to LIBOR in the US, i.e., the Secured Overnight Funding Rate (SOFR), using well-established methodologies in the empirical literature. Even though ...

Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic

Fassas A.P. (2020)

This study investigates the dynamic connectedness across the variance risk premium in international developed and emerging equity markets based on a Bayesian time-varying parameter vector autoregressive methodology. The ...