Tao, Juan; Green, Christopher J. - In: International Review of Financial Analysis 24 (2012) C, pp. 26-37
We use DCC-TGARCH-M to study asymmetries in the conditional variance in FTSE100 spot and futures returns before and after cost-reducing market microstructure changes on the London Stock Exchange and the London International Financial Futures Exchange. We find bidirectional causality-in-mean and...