Meneu, Vicente; Torró, Hipòlit - In: Journal of Futures Markets 23 (2003) 11, pp. 1019-1046
This article studies how the spot‐futures conditional covariance matrix responds to positive and negative innovations. The main results of the article are achieved by obtaining the Volatility Impulse Response Function (VIRF) for asymmetric multivariate GARCH structures, extending Lin (1997)...