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Spill over effects of futures contracts initiation on the cash market: a regime shift approach

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  • George Karathanassis
  • Vasilios Sogiakas

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  • George Karathanassis & Vasilios Sogiakas, 2010. "Spill over effects of futures contracts initiation on the cash market: a regime shift approach," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 95-143, January.
    • Handle: RePEc:kap:rqfnac:v:34:y:2010:i:1:p:95-143
    DOI: 10.1007/s11156-009-0149-4
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    Cited by:

    1. Fassas, Athanasios P. & Siriopoulos, Costas, 2019. "Intraday price discovery and volatility spillovers in an emerging market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 333-346.
    2. Sogiakas, Vasilios & Karathanassis, George, 2015. "Informational efficiency and spurious spillover effects between spot and derivatives markets," Global Finance Journal, Elsevier, vol. 27(C), pages 46-72.

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    More about this item

    Keywords

    Stock index futures contract; Structural break; Regime shift; APARCH; Rolling sample; SWARCH-L; C22; C52; C53; G15;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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