The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework
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- Chang, Charles & Lin, Emily, 2015. "Cash-futures basis and the impact of market maturity, informed trading, and expiration effects," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 197-213.
More about this item
KeywordsStock; Futures; Options; GARCH; Distribution; Basis; Asymmetric volatility; C32; C50; G15;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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