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| Tekijä: | Racine, M. D. Ackert, L. F. |
| Otsikko: | Time-varying volatility in Canadian and U.S. stock index and index futures markets: a multivariate analysis |
| Lehti: | Journal of Financial Research
2000 : SUMMER, VOL. 23:2, p. 129-143 |
| Asiasana: | Stock markets Futures markets Canada USA |
| Kieli: | eng |
| Tiivistelmä: | 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