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Oil futures and spot markets – a comment

✍ Scribed by Osayimwese, Iz.

Book ID
115230524
Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
157 KB
Volume
17
Category
Article
ISSN
0277-0180

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## Abstract This article studies how the spot‐futures conditional covariance matrix responds to positive and negative innovations. The main results of the article are achieved by obtaining the Volatility Impulse Response Function (VIRF) for asymmetric multivariate GARCH structures, extending Lin (1