Volatility transmission across stock index futures when there are structural changes in return variance
Author:
Affiliation:
1. a Department of Finance , Shih Hsin University , Taipei City , Taiwan
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/09603107.2012.669459
Reference34 articles.
1. The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets
2. Volatility in Emerging Stock Markets
3. Influence of structural changes in transmission of information between stock markets: A European empirical study
4. Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?
5. A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market
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