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Search: subject:"VECM–GARCH-M model"
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AR-GJR-GARCH-M model
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CSI 300 stock index futures
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International Review of Economics & Finance
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The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns
Hou, Yang
;
Li, Steven
- In:
International Review of Economics & Finance
33
(
2014
)
C
,
pp. 319-337
model. A univariate AR-GJR-GARCH-M model and a bivariate
VECM–GARCH-M
model
are employed for the analysis. Our research …
Persistent link: https://www.econbiz.de/10010930958
Saved in:
2
The impact of the CSI 300 stock index futures : positive feedback trading and autocorrelation of stock returns
Hou, Yang
;
Li, Steven
- In:
International review of economics & finance : IREF
33
(
2014
),
pp. 319-337
Persistent link: https://www.econbiz.de/10010532719
Saved in:
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