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Abstract: The relationship between information and volatility has received considerable attention in the literature. This paper studies informa tion by applying a different methodology, cross-spectral analysis, to the transmission of vola tility between markets. Cross-spectral analyzes the strength of the relationships and the lead-lag characteristics between stock index futures volatility measures for high frequency intraday futures volatility data. The use of futures avoids the difficulties... (Update)
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BibTeX entry: (Update)
@misc{ daigler-information,
author = "Robert T. Daigler and Anthony F. Herbst",
title = "Information Dispersal: A Microstructure Analysis of Stock Index Futures
Volatility Patterns",
url = "citeseer.ist.psu.edu/407994.html" }
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