Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework

Return and Volatility Dynamics in the Sp

Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH-X Framework

✍ Ramaprasad Bhar 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 130 KB

## Abstract This article provides evidence of linkages between the equity market and the index futures market in Australia, where the futures market has experienced a major structural event due to the futures contract respecification. A bivariate Exponential Generalized Autoregressive Conditional H