Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis
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- M. D. Racine & Lucy F. Ackert, 2000. "Time-Varying Volatility In Canadian And U.S. Stock Index And Index Futures Markets: A Multivariate Analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(2), pages 129-143, June.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tao, Juan & Green, Christopher J., 2012. "Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 26-37.
More about this item
KeywordsFinancial markets ; Futures ; Stock market;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1999-01-25 (All new papers)
- NEP-CFN-1999-01-25 (Corporate Finance)
- NEP-ETS-1999-01-25 (Econometric Time Series)
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