I thank Thierry Foucault, Kenneth Kavajecz, Chris Lamoureux (dissertation chair), Nitish Ranjan Sinha (2011 FMA Discussant), Erik Theissen, Bob Webb (the editor), one anonymous referee, and seminar participants at the University of Arizona, California State University Fullerton, the Office of the Comptroller of the Currency - Risk Analysis Division, University of Michigan-Dearborn, State University of New York at Albany, and Oakland University for helpful comments and suggestions. I thank the financial support from University of Michigan – Dearborn for obtaining the data used in this paper. Finally, I thank Yufang Xia, Moxin Wang, Jun Zhang, and Elena ZhangWang for support.
Volatility discovery across stock limit order book and options markets
Article first published online: 28 JUN 2013
© 2013 Wiley Periodicals, Inc.
Journal of Futures Markets
How to Cite
Wang, Q. (2013), Volatility discovery across stock limit order book and options markets. J. Fut. Mark.. doi: 10.1002/fut.21628
- Article first published online: 28 JUN 2013
- Manuscript Accepted: 1 APR 2013
- Manuscript Received: 1 APR 2012
- University of Michigan, Dearborn
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