مرکز منطقه ای اطلاع رساني علوم و فناوري - Vector autoregression or simultaneous equations model? The intraday relationship between index arbitrage and market volatility

Title of article :

Vector autoregression or simultaneous equations model? The intraday relationship between index arbitrage and market volatility

Author/Authors :

Kalok Chan، نويسنده , , Y. Peter Chung، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 1995

Pages :

From page :

173

To page :

179

Keywords :

VAR , SEM , Endogenous and exogenous variables , Index arbitrage , Intraday relationship , Market volatility

Journal title :

Journal of Banking and Finance

Serial Year :

1995

Journal title :

Journal of Banking and Finance

Record number :

192750

Link To Document :