Browsing BI Open by Author "Chung, Ling Tak Douglas"

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Return transmission and volatility spillover in dual-listed Nikkei 225 index futures markets : a multivariate GARCH analysis

Chung, Ling Tak Douglas; Jian, Xin (Master thesis, 2012-04-26)

By means of a multivariate asymmetric VECM-GARCH-M model, this paper investigates the price transmission mechanism of the dual-listed Nikkei 225 Index futures through both return and volatility channels. Using daily data ...