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Differences in the price of risk and the resulting response to shocks: an analysis of Asian markets

✍ Scribed by Gökçe A. Soydemir

Book ID
116575180
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
626 KB
Volume
15
Category
Article
ISSN
1042-4431

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This study investigates the response of returns and volume to different information shocks in China's commodity futures markets using bivariate moving average representation (BMAR) and bivariate vector autoregression (BVAR) methodologies. Consistent with the conclusions from stock market studies tha