Spill over effects of futures contracts initiation on the cash market: a regime shift approach
Year of publication: |
2010
|
---|---|
Authors: | Karathanassis, George ; Sogiakas, Vasilios |
Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 34.2010, 1, p. 95-143
|
Publisher: |
Springer |
Subject: | Stock index futures contract | Structural break | Regime shift | APARCH | Rolling sample | SWARCH-L |
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