TIME‐VARYING VOLATILITY IN CANADIAN AND U.S. STOCK INDEX AND INDEX FUTURES MARKETS: A MULTIVARIATE ANALYSIS
- 1 June 2000
- journal article
- Published by Wiley in Journal of Financial Research
- Vol. 23 (2) , 129-143
- https://doi.org/10.1111/j.1475-6803.2000.tb00735.x
Abstract
No abstract availableKeywords
This publication has 11 references indexed in Scilit:
- Is the correlation in international equity returns constant: 1960–1990?Journal of International Money and Finance, 1995
- International Listings of Stocks: The Case of Canada and the U.S.Journal of International Business Studies, 1993
- Risk‐Adjusted Day‐of‐the‐Week, Day‐of‐the‐Month, and Month‐of‐the‐Year Effects on Stock Indexes and Stock Index FuturesThe Financial Review, 1992
- ARCH modeling in financeJournal of Econometrics, 1992
- Intraday Volatility in the Stock Index and Stock Index Futures MarketsThe Review of Financial Studies, 1991
- The Dynamics of Stock Index and Stock Index Futures ReturnsJournal of Financial and Quantitative Analysis, 1990
- Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch ModelThe Review of Economics and Statistics, 1990
- Volatility persistence and stock valuations: Some empirical evidence using garchJournal of Applied Econometrics, 1988
- Index-Futures Arbitrage and the Behavior of Stock Index Futures PricesThe Review of Financial Studies, 1988
- Day of the Week Effects and Asset ReturnsThe Journal of Business, 1981