Abstracts - faqs.org

Abstracts

Business, general

Search abstracts:
Abstracts » Business, general

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.

Author: Bhar, Ramaprasad
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

User Contributions:

Comment about this article or add new information about this topic:

CAPTCHA


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.

Author: Yum, Won-Cheol, Purcell, Wayne, McQuirk, Anya, Kenyon, David
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

User Contributions:

Comment about this article or add new information about this topic:

CAPTCHA



Subjects list: Statistical Data Included, Models, Futures market, Futures markets, Commodity exchanges, Commodities industry
Similar abstracts:
  • Abstracts: Return and volatility dynemics in the FT-SE stock index and stock index futures market. The intraday distribution of volatility and the value of wildcard options
  • Abstracts: Intraday volatility in interest rate and foreign exchange spot and futures markets. Cash settlement of futures contracts: an economic analysis
This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.
Some parts © 2023 Advameg, Inc.