Asymmetries, causality and correlation between FTSE100 spot and futures : a DCC-TGARCH-M analysis
Year of publication: |
2012
|
---|---|
Authors: | Tao, Juan ; Green, Christopher J. |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 24.2012, p. 26-37
|
Subject: | Index futures | Causality | Conditional correlation | DCC-TGARCH-M | CCF test | Korrelation | Correlation | Kausalanalyse | Causality analysis | Index-Futures | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Spotmarkt | Spot market | Börsenkurs | Share price | Derivat | Derivative |
-
Price discovery process in Nifty spot and futures markets
Choudhary, Kapil, (2013)
-
Shahani, Rakesh, (2018)
-
Impact of futures trading on volatility of spot market-a case of guar seed
Dinesh Kumar Sharma, (2015)
- More ...
-
Tao, Juan, (2013)
-
Tao, Juan, (2013)
-
Tao, Juan, (2013)
- More ...