Volatility spillover between the FTSE/JSE top 40 index and index futures : a BEKK-GARCH and DCC-GARCH approach
K. McCullough, M. Murray and B. Strydom
| Year of publication: |
April 2018
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|---|---|
| Authors: | McCullough, Kerry ; Murray, Mike ; Strydom, Barry |
| Published in: |
Tydskrif vir studies in ekonomie en ekonometrie : SEE. - Stellenbosch, ISSN 0379-6205, ZDB-ID 863779-9. - Vol. 42.2018, 1, p. 63-86
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| Subject: | Financial Times Stock Exchange | Johannesburg Stock Exchange | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Index-Futures | Index futures | Aktienindex | Stock index | ARCH-Modell | ARCH model | Großbritannien | United Kingdom | Südafrika | South Africa |
| 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/10011919019