Structural models: Intra/inter-day volatility transmission and spillover persistence of the HSI, HSIF and S&P500 futures

International Review of Financial Analysis

Volumn 7, Issue 1, 1998, Pages 19-36

  Gannon, Gerard L ^a   Choi, Daniel F S ^b  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b NONE

Author keywords

Intra inter day effects; Spillovers; Structural error correction; Structural volatility models; Transmissions

Indexed keywords

EID: 0032325564     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(99)80036-2     Document Type: Article

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