The dynamics in the spot, futures, and call options with basis asymmetries : an intraday analysis in a generalized multivariate GARCH-M MSKST framework
Kai-li Wang; Mei-ling Chen
| Year of publication: |
2007
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|---|---|
| Authors: | Wang, Kai-li ; Chen, Mei-ling |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 29.2007, 4, p. 371-394
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| Subject: | Spotmarkt | Spot market | Derivat | Derivative | Optionsgeschäft | Option trading | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Thailand | 2003 |
| 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/10003600297