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Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis
16 references·3 citing·34 second hop
Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis (2012)Asymmetries, causality and correlation be…Introductory Econometrics for Finance (2008)Introductory Econometrics for…Leverage and Volatility Feedback Effects in High-Frequency Data (2006)Leverage and Volatility Feedb…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A causality-in-variance test and its application to financial market prices (1996)A causality-in-variance test …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…No news is good news (1992)No news is good newsA Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Intraday Volatility in the St…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Tests for Unit Roots: A Monte Carlo Investigation (1989)Tests for Unit Roots: A Monte…Tests For Unit Roots: A Monte Carlo Investigation (1988)Tests For Unit Roots: A Monte…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis (2022)On the stylized facts of prec…Information Spillovers between Carbon Emissions Trading Prices and Shipping Markets: A Time-Frequency Analysis (2022)Information Spillovers betwee…Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach (2018)Dynamic Correlation and Risk …The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Econometric Analysis of Cross Section and Panel Data (2001)Oil prices and the stock prices of alternative energy companies (2007)Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)The Impact of Corporate Social Responsibility Disclosure on Financial Performance: Evidence from the GCC Islamic Banking Sector (2016)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)The variation of certain speculative prices (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2008Introductory Econometrics for Finance3,662 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1992No news is good news1,929 cited
  • 1988Tests For Unit Roots: A Monte Carlo Investigation1,244 cited
  • 1989Tests for Unit Roots: A Monte Carlo Investigation635 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 1996A causality-in-variance test and its application to financial market prices520 cited
  • 1991Intraday Volatility in the Stock Index and Stock Index Futures Markets

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440 cited
  • 2006Leverage and Volatility Feedback Effects in High-Frequency Data439 cited
  • Cited by

    • 2022Information Spillovers between Carbon Emissions Trading Prices and Shipping Markets: A Time-Frequency Analysis66 cited
    • 2018Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach23 cited
    • 2022On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis21 cited