Title:

Time-Varying Volatility in Canadian and U.S. Stock Index and Index Futures Markets : A Multivariate Analysis, Working Paper 98-14

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Federal Reserve Bank of Atlanta. "Time-Varying Volatility in Canadian and U.S. Stock Index and Index Futures Markets : A Multivariate Analysis, Working Paper 98-14" in Working Papers (Federal Reserve Bank of Atlanta) (August 1998). https://fraser.stlouisfed.org/title/8586/item/656656, accessed on May 21, 2024.

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Keywords: volatility dependence, M-GARCH

Published in Journal of Financial Research 23, 2000

  • jel: G10, G15