Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis
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- Racine, M D & Ackert, Lucy F, 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, Summer.
- 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.
- Lafuente, Juan A. & Novales, Alfonso, 2003.
"Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market,"
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Elsevier, vol. 27(6), pages 1053-1078, June.
- Alfonso Novales & J.A. Lafuente, 2002. "Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market," Documentos de Trabajo del ICAE 0223, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Constantinos Katrakilidis & Athanasios Koulakiotis, 2006. "The Impact of Stock Exchange Rules on Volatility and Error Transmission -- The Case of Frankfurt and Zurich Cross-Listed Equities," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 321-338, November.
- Atilla Çifter & Alper Özün, 2007.
"The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey,"
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- Cifter, Atilla & Ozun, Alper, 2007. "The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey," MPRA Paper 2489, University Library of Munich, Germany.
- 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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