Modelling Linkages Between Australian Financial Futures Markets

Sangbae Kim; Francis In; Christopher Viney

doi:10.1177/031289620102600102

Modelling Linkages Between Australian Financial Futures Markets

Sangbae Kim, Francis In, Christopher Viney

School of Business Administration

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

This paper investigates the dynamic interdependence of the Australian financial futures markets. We develop a multivariate EGARCH model 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, our empirical results strongly suggest that significant volatility interactions are evident across the three markets.

Original language	English
Pages (from-to)	19-34
Number of pages	16
Journal	Australian Journal of Management
Volume	26
Issue number	1
DOIs	https://doi.org/10.1177/031289620102600102
State	Published - Jun 2001

Keywords

AUSTRALIAN FINANCIAL FUTURES MARKETS
DYNAMIC INTERDEPENDENCE
MULTIVARIATE EGARCH MODELw
STOCHASTIC VOLATILITY

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10.1177/031289620102600102

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abstract = "This paper investigates the dynamic interdependence of the Australian financial futures markets. We develop a multivariate EGARCH model 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, our empirical results strongly suggest that significant volatility interactions are evident across the three markets.",

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KW - MULTIVARIATE EGARCH MODELw

KW - STOCHASTIC VOLATILITY

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Modelling Linkages Between Australian Financial Futures Markets

Abstract

Keywords

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