13-086/III - Herding, Information Cascades and Volatility Spillovers in Futures Markets

• Authors
  Michael McAleer, Erasmus University Rotterdam, The Netherlands, Kyoto University, Japan, Complutense University of Madrid, Spain; Kim Radalj, University of Western Australia
• Publication date
  July 15, 2013

• Keywords
  Herding, speculation, hedging, noise traders, currency and commodity markets, futures and spot markets, time-varying volatility, causality-in-variance, spillovers
• JEL
  D82, D84, G12, G14