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

Journal article

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. https://doi.org/10.1111/1468-5957.05409
AuthorsAntoniou, A., Pescetto, G. and Violaris, A.
KeywordsSpot-futures; market interdependence; lead-lags; volatility; VAR-EGARCH; EU financial markets
Year2003
JournalJournal of Business Finance and Accounting
Journal citation30 (5-6), pp. 645-667
PublisherWiley
ISSN0306-686X
Digital Object Identifier (DOI)https://doi.org/10.1111/1468-5957.05409
Publication dates
Print09 Sep 2003
Publication process dates
Deposited15 Mar 2011
Output statusPublished
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https://repository.canterbury.ac.uk/item/85134/modelling-international-price-relationships-and-interdependencies-between-the-stock-index-and-stock-index-futures-markets-of-three-eu-countries-a-multivariate-analysis

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