Strategic interaction between futures and spot markets
✍ Scribed by José Luis Ferreira
- Book ID
- 114047353
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 159 KB
- Volume
- 108
- Category
- Article
- ISSN
- 0022-0531
No coin nor oath required. For personal study only.
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CCC 0270-731 4/96/01 0055-1 5 'The univariate Exponential GARCH model (EGARCH) was suggested by Nelson (1991) as a means of modeling the tendency of stock market returns to be more volatile in periods following market declines.
## 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
rading in financial fumes currently accounts for roughly 35% of all futures T contracts, and it promises to become an even larger share of the market. Among those assets in which futures contracts are now traded are stock indices. Futures contracts on the Vdue4he Composite Average opened on Februar