Asymmetries, causality and correlation between FTSE100 spot and futures : a DCC-TGARCH-M analysis

Juan Tao; Christopher J. Green

Year of publication:	2012
Authors:	Tao, Juan ; Green, Christopher J.
Published in:	International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 24.2012, p. 26-37
Subject:	Index futures \| Causality \| Conditional correlation \| DCC-TGARCH-M \| CCF test \| Index-Futures \| Korrelation \| Correlation \| Kausalanalyse \| Causality analysis \| ARCH-Modell \| ARCH model \| Schätzung \| Estimation \| Börsenkurs \| Share price \| Rohstoffderivat \| Commodity derivative

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