Modelling linkages between Australian financial futures markets
| Data(s) |
01/06/2001
|
|---|---|
| Resumo |
This paper investigates the dynamic interdependence of the Australian financial futures markets. A multivariate EGARCH model is developed to investigate linkages and stochastic volatility interactions between the 10-year Treasury bond, 90-day bank-accepted bill, and the All Ordinaries share price index futures markets. In this analysis, the empirical results strongly suggest that significant volatility interactions are evident across the 3 markets.<br /> |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Australian Graduate School of Management |
| Relação |
http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=5005192&site=ehost-live |
| Direitos |
2001, Australian Graduate School of Management |
| Palavras-Chave | #Dynamic interdependence #Australian financial futures markets #Stochastic volatility #Multivariate EGARCH model |
| Tipo |
Journal Article |
