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Modelling linkages between Australian financial futures markets

Kim, Sangbae, In, Frances and Viney, Christopher 2001, Modelling linkages between Australian financial futures markets, Australian journal of management, vol. 26, no. 1, pp. 19-34.

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Title Modelling linkages between Australian financial futures markets
Author(s) Kim, Sangbae
In, Frances
Viney, Christopher
Journal name Australian journal of management
Volume number 26
Issue number 1
Start page 19
End page 34
Publisher Australian Graduate School of Management
Place of publication Sydney, N.S.W.
Publication date 2001-06
ISSN 0312-8962
1327-2020
Keyword(s) Dynamic interdependence
Australian financial futures markets
Stochastic volatility
Multivariate EGARCH model
Summary 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.
Language eng
Field of Research 140207 Financial Economics
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2001, Australian Graduate School of Management
Persistent URL http://hdl.handle.net/10536/DRO/DU:30009485

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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