Dynamic Linkages and Temporal Relationships Between Spot and Future Index Prices: Empirical Evidence from India Using Non-linear GARCH–BEKK
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DOI: 10.1007/s10690-024-09464-9
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More about this item
Keywords
Price discovery; Volatility spillovers; Equity spot index; Futures index; BEKK–GARCH; Recursive cointegration;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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