The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework

Kai-Li Wang () and Mei-Ling Chen

Review of Quantitative Finance and Accounting, 2007, vol. 29, issue 4, 394 pages

Keywords: Stock; Futures; Options; GARCH; Distribution; Basis; Asymmetric volatility; C32; C50; G15 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s11156-007-0050-y

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