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Temporal relationships and dynamic interactions between spot and futures stock markets

✍ Scribed by Koutmos, Gregory; Tucker, Michael

Publisher: John Wiley and Sons
Year: 1996
Tongue: English
Weight: 802 KB
Volume: 16
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(199602)16:1<55::aid-fut3>3.0.co;2-g

No coin nor oath required. For personal study only.

✦ Synopsis

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.

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