Time-Varying Volatility in Canadian and U.S. Stock Index Futures Markets: A Multivariate Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.119688 ◽

1998 ◽

Author(s):

Lucy F. Ackert ◽

Marie D. Racine

Keyword(s):

Multivariate Analysis ◽

Futures Markets ◽

Stock Index ◽

Stock Index Futures ◽

Time Varying ◽

Index Futures

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TIME-VARYING VOLATILITY IN CANADIAN AND U.S. STOCK INDEX AND INDEX FUTURES MARKETS: A MULTIVARIATE ANALYSIS

The Journal of Financial Research ◽

10.1111/j.1475-6803.2000.tb00735.x ◽

2000 ◽

Vol 23 (2) ◽

pp. 129-143 ◽

Cited By ~ 4

Author(s):

M. D. Racine ◽

Lucy F. Ackert

Keyword(s):

Multivariate Analysis ◽

Futures Markets ◽

Stock Index ◽

Time Varying ◽

Index Futures

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Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis

Journal of Business Finance &amp Accounting ◽

10.1111/1468-5957.05409 ◽

2003 ◽

Vol 30 (5-6) ◽

pp. 645-667 ◽

Cited By ~ 39

Author(s):

Antonios Antoniou ◽

Gioia Pescetto ◽

Antonis Violaris

Keyword(s):

Multivariate Analysis ◽

Futures Markets ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Eu Countries ◽

International Price ◽

Price Relationships

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Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach

Energy Economics ◽

10.1016/j.eneco.2019.06.020 ◽

2019 ◽

Vol 83 ◽

pp. 119-143 ◽

Cited By ~ 7

Author(s):

Yang Hou ◽

Steven Li ◽

Fenghua Wen

Keyword(s):

Futures Markets ◽

Garch Model ◽

Fuel Oil ◽

Stock Index ◽

Stock Index Futures ◽

Time Varying ◽

Volatility Spillover ◽

Index Futures ◽

Nonparametric Approach

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Modeling International Price Relationships and Interdependencies between EU Stock Index and Stock Index Futures Markets: A Multivariate Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.264591 ◽

2001 ◽

Cited By ~ 2

Author(s):

Gioia Maria Rita Pescetto ◽

Antonios Antoniou ◽

Antonis Violaris

Keyword(s):

Multivariate Analysis ◽

Futures Markets ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

International Price ◽

Price Relationships

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Information Transmission between China’s IH and SGX FTSE A50 Stock Index Futures Markets: The Role of Trading Restrictions

Emerging Markets Finance and Trade ◽

10.1080/1540496x.2021.1917360 ◽

2021 ◽

pp. 1-12

Author(s):

Tian Wen ◽

Ping Li ◽

Yunbi an

Keyword(s):

Information Transmission ◽

Futures Markets ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Trading Restrictions

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Time-varying distributions and the optimal hedge ratios for stock index futures

Applied Financial Economics ◽

10.1080/758523000a ◽

1995 ◽

Vol 5 (3) ◽

pp. 131-137 ◽

Cited By ~ 56

Author(s):

Tae H. Park ◽

Lorne N. Switzer

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Time Varying ◽

Index Futures ◽

Hedge Ratios ◽

Optimal Hedge

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Mispricing in Stock Index Futures Markets – the Case of Greece

SSRN Electronic Journal ◽

10.2139/ssrn.1873949 ◽

2010 ◽

Cited By ~ 2

Author(s):

Athanasios Fassas

Keyword(s):

Futures Markets ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Of Greece

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The lead-lag relationship between equities and stock index futures markets around information releases

Journal of Futures Markets ◽

10.1002/(sici)1096-9934(200005)20:5<467::aid-fut4>3.0.co;2-l ◽

2000 ◽

Vol 20 (5) ◽

pp. 467-487 ◽

Cited By ~ 43

Author(s):

Alex Frino ◽

Terry Walter ◽

Andrew West

Keyword(s):

Futures Markets ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures

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Cojumps in China's spot and stock index futures markets

Pacific-Basin Finance Journal ◽

10.1016/j.pacfin.2015.10.002 ◽

2015 ◽

Vol 35 ◽

pp. 541-557 ◽

Cited By ~ 1

Author(s):

Hao Wang ◽

Mengqi Yue ◽

Hua Zhao

Keyword(s):

Futures Markets ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures

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Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets

Journal of Futures Markets ◽

10.1002/fut.3990150405 ◽

1995 ◽

Vol 15 (4) ◽

pp. 457-488 ◽

Cited By ~ 93

Author(s):

Abhay H. Abhyankar

Keyword(s):

Futures Markets ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures

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