search query: @indexterm Futures markets / total: 497
reference: 46 / 497
Author: | Racine, M. D. Ackert, L. F. |
Title: | Time-varying volatility in Canadian and U.S. stock index and index futures markets: a multivariate analysis |
Journal: | Journal of Financial Research
2000 : SUMMER, VOL. 23:2, p. 129-143 |
Index terms: | Stock markets Futures markets Canada USA |
Language: | eng |
Abstract: | A multivariate generalized autoregressive heteroskedasticity model (M-GARCH) is used to examine three stock indexes and their associated futures prices: The New York Stock Exchange Composite, S&P 500, and Toronto 35. |
SCIMA