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Dynamic spillover effects in futures markets: UK and US evidence
Nikolaos Antonakakis
, Christos Floros
, Renatas Kizys
Vienna University of Economics and Business
University of Portsmouth
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Keyphrases
Futures Markets
100%
US Evidence
100%
Dynamic Spillover
100%
Spot Market
50%
Stock Market Volatility
50%
Futures Trading
50%
Futures Volatility
50%
Spot Volatility
50%
European Debt Crisis
50%
Open Interest
50%
Global Financial Crisis
25%
UK Market
25%
Shock
25%
Transmitter
25%
Market Participants
25%
Volatility Spillover
25%
Financial Sector
25%
Economic Events
25%
Robustness Check
25%
Spillover Index
25%
Spillover Effect
25%
US Market
25%
Static Analysis
25%
Dynamic Interdependence
25%
Economics, Econometrics and Finance
Spillover Effect
100%
Volatility
80%
Debt Crisis
40%
Financial Crisis
20%