Information transmission between U.S. and China index futures markets : an asymmetric DCC GARCH approach
Yang Hou, Steven Li
| Year of publication: |
January 2016
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|---|---|
| Authors: | Hou, Yang ; Li, Steven |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 52.2016, part B, p. 884-897
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| Subject: | Information transmission | Asymmetric DCC GARCH | Stock index futures market | Chinese and U.S. stock markets | China | USA | United States | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Index-Futures | Index futures | Volatilität | Volatility | Informationsverbreitung | Information dissemination | Börsenkurs | Share price | Aktienindex | Stock index | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.10.025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011643072