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
Citation:
Alexander Miles Eastman, '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', [thesis], Trinity College (Dublin, Ireland). Trinity Business School, 2009, pp 370Download Item:
Abstract:
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 represent agriculture, currency, industrial, equity, and interest rate market sectors allowing broad analyses to be performed.
Author: Eastman, Alexander Miles
Advisor:
Lucey, BrianQualification name:
Doctor of Philosophy (Ph.D.)Publisher:
Trinity College (Dublin, Ireland). Trinity Business SchoolNote:
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Business, Ph.D., Ph.D. Trinity College DublinMetadata
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