Common volatility in major stock index futures markets

DOI10.1016/0377-2217(95)00308-8MaRDI QIDQ1278427zbMATH OpenOpenAlexFDO

Authors G. Geoffrey Booth, Teppo Martikainen, Mustafa Kamal Chowdhury

Publication date 29 November 1999

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-2217(95)00308-8

zbMATH Keywords

asset pricingfinanceinternationalstock index futures

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

• Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?
• Volatility models of currency futures in developed and emerging markets.
• Volatility and Links between National Stock Markets
• Transmission of stock returns and volatility between the U.S. And Japan: Evidence from the stock index futures markets

Cites work

• Cointegration tests with conditional heteroskedasticity.
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

Cited in

(12)

• An extensive analysis on the Japanese markets via S. Taylor's model
• Financial markets trends and studies of Singapore futures markets
• Transmission of stock returns and volatility between the U.S. And Japan: Evidence from the stock index futures markets
• Volatility models of currency futures in developed and emerging markets.
• Is volatility lognormal? Evidence from Italian futures
• Related commodity markets and conditional correlations
• A long-run pure variance common features model for the common volatilities of the Dow Jones
• scientific article; zbMATH DE number 6719556 (Why is no real title available?)
• Volatility and Links between National Stock Markets
• Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?
• Fed funds futures variance futures
• Are volatility indices in international stock markets forward looking?

This page was built for publication: Common volatility in major stock index futures markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1278427)