Return and volatility dynamics in the spot and futures markets in Australia: an intervention analysis in a bivariate EGARCH-X framework
Article Abstract:
An extended bivariate Exponential Generalized Autoregressive Conditional Heteroskedasticity model is used to illustrate the dynamics of the Australian spot and index futures markets.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
Implications of trader mix to price discovery and market effectiveness in live cattle futures
Article Abstract:
The two models of price efficiency in the cattle futures market are analyzed and discussed. One model focuses on day-to-day prices and the other focuses on significant profits over time.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1995
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Return and volatility dynemics in the FT-SE stock index and stock index futures market. The intraday distribution of volatility and the value of wildcard options
- Abstracts: Intraday volatility in interest rate and foreign exchange spot and futures markets. Cash settlement of futures contracts: an economic analysis