Modelling international price relationships and interdependencies between the stock index and stock index futures markets of three EU Countries: a multivariate analysis

Antoniou, A., Pescetto, G. and Violaris, A. (2003) 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 and Accounting, 30 (5-6). pp. 645-667. ISSN 0306-686X.

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Item Type: Article
Uncontrolled Keywords: Spot-futures; market interdependence; lead-lags; volatility; VAR-EGARCH; EU financial markets
Subjects: H Social Sciences > HB Economic Theory
Divisions: pre Nov-2014 > Faculty of Business and Management > Faculty of Business and Management (General)
Depositing User: Users 9 not found.
Date Deposited: 15 Mar 2011 14:26
Last Modified: 11 Dec 2014 14:02
URI: https://create.canterbury.ac.uk/id/eprint/5519

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Last edited: 29/06/2016 12:23:00