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We construct a dynamic competitive model with futures markets where price volatility comes from information arrival and noise trading. In this model, we address three issues: What does informational efficiency mean in a multi-period setting? How do information arrival and noise trading interact...
Persistent link: https://www.econbiz.de/10011084732
We study the correlation of monthly excess returns for seven major countries over the period 1960-1990. We find that the international covariance and correlation matrices are unstable over time. A multivariate GARCH(1,1) modelling with constant conditional correlation helps capture some of the...
Persistent link: https://www.econbiz.de/10005656106