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MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY

✍ Scribed by Igor V. Evstigneev; Thorsten Hens; Klaus Reiner Schenk-Hoppé

Book ID
111043013
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
495 KB
Volume
12
Category
Article
ISSN
0960-1627

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## Abstract Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the patterns of information flows for three financial futures contracts that are dual‐listed on U.S. and Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollar–yen currency f