Work

Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis

Year: 2012

Type: article

Source: International Review of Financial Analysis

DOI: 10.1016/j.irfa.2012.07.002

Authors: Juan Tao, Christopher J. Green

Institutions: Xi’an Jiaotong-Liverpool University, Loughborough University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2015850495

FWCI: 3.18

Cites: 38

Cited by: 28

Related to: 10