Dependence structure analysis between stock index futures and spot markets in the case of the “Golden week” effect
Year of publication: |
2013
|
---|---|
Authors: | Yin, Lanwenjing ; Chokethaworn, Kanchana ; Chaiboonsri, Chukiat |
Published in: |
The Empirical Econometrics and Quantitative Economics Letters. - Faculty of Economics. - Vol. 2.2013, 4, p. 75-75
|
Publisher: |
Faculty of Economics |
Subject: | Dependence | Stock index futures | Spot markets | “Golden week” effect | Copula-ARMA-GARCH models |
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