Browsing Trinity Business School by Author "Eastman, Alexander Miles"
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Returns and information flow in futures markets and their relation to the behaviour of volatility and symmetry measures : an analysis utilizing VAR and GARCH modelling
Eastman, Alexander Miles (Trinity College (Dublin, Ireland). Trinity Business School, 2009)This dissertation examines the behaviour of futures returns and change in volume (information flow) across a wide selection of market sectors encompassing multiple contracts within each sector. The contracts examined ...