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Asymmetries, causality and correlation between FTSE100 spot and futures : a
DCC-TGARCH-M
analysis
Tao, Juan
;
Green, Christopher J.
- In:
International review of financial analysis
24
(
2012
),
pp. 26-37
Persistent link: https://www.econbiz.de/10009688185
Saved in:
2
Asymmetries, causality and correlation between FTSE100 spot and futures: A
DCC-TGARCH-M
analysis
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 …
Persistent link: https://www.econbiz.de/10010595131
Saved in:
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