Bohl, Martin T.; Diesteldorf, Jeanne; Siklos, Pierre L. - Center for Quantitative Economics (CQE), … - 2014
This paper examines whether the introduction of Chinese stock index futures had an impact on the volatility of the underlying spot market. To this end, we estimate several Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) models and compare our findings for mainland China with...