Dynamic linkages and temporal relationships between spot and future index prices : empirical evidence from India using non-linear GARCH-BEKK
Khalid Ul Islam, Umer Mushtaq Lone, Younis Ahmed Gulam, Suhail Ahmad Bhat
| Year of publication: |
2025
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|---|---|
| Authors: | Ul Islam, Khalid ; Lone, Umer Mushtaq ; Gulam, Younis Ahmed ; Bhat, Suhail Ahmad |
| Published in: |
Asia Pacific financial markets. - [Erscheinungsort nicht ermittelbar] : Proquest, ISSN 1573-6946, ZDB-ID 2009834-0. - Vol. 32.2025, 2, p. 609-630
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| Subject: | Price discovery | Volatility spillovers | Equity spot index | Futures index | BEKK-GARCH | Recursive cointegration | Volatilität | Volatility | Kointegration | Cointegration | Index-Futures | Index futures | Indien | India | Aktienindex | Stock index | Börsenkurs | Share price | Spotmarkt | Spot market | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-024-09464-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015437103