Return and volatility dynamics in the spot and futures markets in Australia: an intervention analysis in a bivariate EGARCH-X framework
Article Abstract:
An extended bivariate Exponential Generalized Autoregressive Conditional Heteroskedasticity model is used to illustrate the dynamics of the Australian spot and index futures markets.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
Australia, Tests, problems and exercises, Stock index futures, Spot market
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
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Implications of trader mix to price discovery and market effectiveness in live cattle futures
Article Abstract:
The two models of price efficiency in the cattle futures market are analyzed and discussed. One model focuses on day-to-day prices and the other focuses on significant profits over time.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1995
United States, Management, Prices and rates, Cattle, Futures, Commodity brokers
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1995
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Comment about this article or add new information about this topic:
Subjects list: Statistical Data Included, Models, Futures market, Futures markets, Commodity exchanges, Commodities industry
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