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Asymmetric covariance in sport-future markets

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  • Vicente Meneu
  • Hipolit Torro

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Paper provided by FEDEA in its series Studies on the Spanish Economy with number 135.

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Handle: RePEc:fda:fdaeee:135

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References

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  1. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
  2. Lin, Wen-Ling, 1997. "Impulse Response Function for Conditional Volatility in GARCH Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 15(1), pages 15-25, January.
  3. Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990. "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, Elsevier, vol. 45(1-2), pages 213-237.
  4. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, American Finance Association, vol. 44(5), pages 1115-53, December.
  5. Lence, Sergio H., 1995. "On the optimal hedge under unbiased futures prices," Economics Letters, Elsevier, Elsevier, vol. 47(3-4), pages 385-388, March.
  6. Brooks, C. & Henry, O.T., 1999. "Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia," Department of Economics - Working Papers Series, The University of Melbourne 676, The University of Melbourne.
  7. Cecchetti, Stephen G & Cumby, Robert E & Figlewski, Stephen, 1988. "Estimation of the Optimal Futures Hedge," The Review of Economics and Statistics, MIT Press, vol. 70(4), pages 623-30, November.
  8. Brenner, Robin J. & Harjes, Richard H. & Kroner, Kenneth F., 1996. "Another Look at Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 31(01), pages 85-107, March.
  9. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 11(01), pages 122-150, February.
  10. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
  11. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 34(1), pages 157-70, March.
  12. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 25(04), pages 441-468, December.
  13. repec:cup:etheor:v:6:y:1990:i:1:p:17-43 is not listed on IDEAS
  14. Hentschel, Ludger & Campbell, John, 1992. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," Scholarly Articles 3220232, Harvard University Department of Economics.
  15. Braun, Phillip A & Nelson, Daniel B & Sunier, Alain M, 1995. " Good News, Bad News, Volatility, and Betas," Journal of Finance, American Finance Association, American Finance Association, vol. 50(5), pages 1575-1603, December.
  16. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report, Federal Reserve Bank of Minneapolis 157, Federal Reserve Bank of Minneapolis.
  17. Kroner, Kenneth F. & Sultan, Jahangir, 1993. "Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 28(04), pages 535-551, December.
  18. Wooldridge, Jeffrey M., 1990. "A Unified Approach to Robust, Regression-Based Specification Tests," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 6(01), pages 17-43, March.
  19. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, Elsevier, vol. 72(1-2), pages 33-48.
  20. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 96(1), pages 116-31, February.
  21. Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, Elsevier, vol. 39(1), pages 71-104, September.
  22. Tim Bollerslev & Jeffrey M. Wooldridge, 1988. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 505, Massachusetts Institute of Technology (MIT), Department of Economics.
  23. Henry, O. & Sharma, J., 1998. "Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios," Department of Economics - Working Papers Series, The University of Melbourne 617, The University of Melbourne.
  24. Ross, Stephen A, 1989. " Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy," Journal of Finance, American Finance Association, American Finance Association, vol. 44(1), pages 1-17, March.
  25. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 1-48, January.
  26. Tse, Y. K., 2000. "A test for constant correlations in a multivariate GARCH model," Journal of Econometrics, Elsevier, Elsevier, vol. 98(1), pages 107-127, September.
  27. Alonso, Aurora & Rubio, Gonzalo & Tusell, Fernando, 1990. "Asset pricing and risk aversion in the Spanish stock market," Journal of Banking & Finance, Elsevier, Elsevier, vol. 14(2-3), pages 351-369, August.
  28. Ana Andrés-Andrés, 2001. "Impacto sobre el mercado bursátil del vencimiento de los contratos de derivados sobre el IBEX 35," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 25(1), pages 203-234, January.
  29. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8633, Universite de Montreal, Departement de sciences economiques.
  30. repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
  31. Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 6(2), pages 109-24, April-Jun.
  32. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
  33. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  34. Angel León & Juan Mora, 1999. "Modelling conditional heteroskedasticity: Application to the "IBEX-35" stock-return index," Spanish Economic Review, Springer, Springer, vol. 1(3), pages 215-238.
  35. Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 30(01), pages 23-42, March.
  36. Ángel Pardo & Francisco Climent, 2000. "Relaciones temporales entre el contrato de futuro sobre IBEX-35 y su activo subyacente," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 24(1), pages 219-236, January.
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Cited by:
  1. Angelos Kanas, 2009. "Regime switching in stock index and futures markets: a note on the NIKKEI evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(4), pages 394-399.

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