Common volatility in major stock index futures markets

DOI10.1016/0377-2217(95)00308-8zbMath0926.91063OpenAlexW2140742728MaRDI QIDQ1278427

Teppo Martikainen, G. Geoffrey Booth, 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) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

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

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