The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework
| Year of publication: |
2007
|
|---|---|
| Authors: | Wang, Kai-Li ; Chen, Mei-Ling |
| Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 29.2007, 4, p. 371-394
|
| Publisher: |
Springer |
| Subject: | Stock | Futures | Options | GARCH | Distribution | Basis | Asymmetric volatility |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005701339