The Impact of Introduction of QFIIs Trading on the Lead and Volatility Behavior: Evidence for Taiwan Index Futures Market
Year of publication: |
2006
|
---|---|
Authors: | Kuo, Wen-Hsiu ; Chan, Shih-Ju |
Published in: |
Review of Pacific Basin Financial Markets and Policies (RPBFMP). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6705. - Vol. 09.2006, 01, p. 25-49
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Lead-lag | volatility | stock index futures | VECM | GJR-GARCH | switching GJR-GARCH |
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