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

Alexandros Antoniou; G. Pescetto; A. Violaris

doi:10.1111/1468-5957.05409

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

Alexandros Antoniou
, G. Pescetto
, A. Violaris

Research output: Contribution to journal › Article › peer-review

41 Citations (Scopus)

Original language	English
Pages (from-to)	645-667
Journal	Journal of Business Finance and Accounting
Volume	30
Issue number	5-6
DOIs	https://doi.org/10.1111/1468-5957.05409
Publication status	Published - 9 Sept 2003

Keywords

Spot-futures; market interdependence; lead-lags; volatility; VAR-EGARCH; EU financial markets

Access to Document

10.1111/1468-5957.05409

Cite this

@article{457eb3e934f14d4f899a8174dc0cf1cf,

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

keywords = "Spot-futures; market interdependence; lead-lags; volatility; VAR-EGARCH; EU financial markets",

author = "Alexandros Antoniou and G. Pescetto and A. Violaris",

year = "2003",

month = sep,

day = "9",

doi = "10.1111/1468-5957.05409",

language = "English",

volume = "30",

pages = "645--667",

journal = "Journal of Business Finance and Accounting",

issn = "0306-686X",

publisher = "Wiley-Blackwell Publishing Ltd",

number = "5-6",

}

Modelling international price relationships and interdependencies between the stock index and stock index futures markets of three EU Countries: a multivariate analysis. / Antoniou, Alexandros; Pescetto, G.; Violaris, A.
In: Journal of Business Finance and Accounting, Vol. 30, No. 5-6, 09.09.2003, p. 645-667.

Research output: Contribution to journal › Article › peer-review

TY - JOUR

T1 - Modelling international price relationships and interdependencies between the stock index and stock index futures markets of three EU Countries: a multivariate analysis

AU - Antoniou, Alexandros

AU - Pescetto, G.

AU - Violaris, A.

PY - 2003/9/9

Y1 - 2003/9/9

KW - Spot-futures; market interdependence; lead-lags; volatility; VAR-EGARCH; EU financial markets

U2 - 10.1111/1468-5957.05409

DO - 10.1111/1468-5957.05409

M3 - Article

SN - 0306-686X

VL - 30

SP - 645

EP - 667

JO - Journal of Business Finance and Accounting

JF - Journal of Business Finance and Accounting

IS - 5-6

ER -