TIME-VARYING VOLATILITY IN CANADIAN AND U.S. STOCK INDEX AND INDEX FUTURES MARKETS: A MULTIVARIATE ANALYSIS

M. D. Racine and Lucy Ackert

Journal of Financial Research, 2000, vol. 23, issue 2, 129-143

Date: 2000
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Working Paper: Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis (1998)
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