Πλοήγηση ανά Συγγραφέα "Fassas A.P."
Αποτελέσματα 1-3 από 3
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Price discovery in a new futures market: Micro E-mini index futures
(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
(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
(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 ...