## Abstract This study attempts to apply the general equilibrium model of stock index futures with both stochastic market volatility and stochastic interest rates to the TAIFEX and the SGX Taiwan stock index futures data, and compares the predictive power of the cost of carry and the general equili
โฆ LIBER โฆ
On the Predictability of the Stock Market Volatility: Does History Matter?
โ Scribed by Kate Adjaoute; Martin Bruand; Rajna Gibson-Asner
- Book ID
- 108559571
- Publisher
- John Wiley and Sons
- Year
- 1998
- Tongue
- English
- Weight
- 148 KB
- Volume
- 4
- Category
- Article
- ISSN
- 1354-7798
No coin nor oath required. For personal study only.
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This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationa