Stock index futures listing and structural change in time-varying volatility-Reference-Cited by-同舟云学术

Stock index futures listing and structural change in time-varying volatility

Published:1992-10 Issue:5 Volume:12 Page:493-509
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Lee Sang Bin,Ohk Ki Yool

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference36 articles.

1. Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

2. Trading Mechanisms and Stock Returns: An Empirical Investigation

3. Stock market microstructure and return volatility

4. Stock Returns and Volatility

5. and . (1981): “An Efficient Large-Sample Test for Normality of Observations and Regression Residuals,” Working Papers in Econometrics 40, Australian National University, Canberra.

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