Asymmetries, causality and correlation between FTSE100 spot and futures : a DCC-TGARCH-M analysis
Juan Tao; Christopher J. Green
| Year of publication: |
2012
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|---|---|
| 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
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| 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 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009688185