Spill over effects of futures contracts initiation on the cash market: a regime shift approach

George Karathanassis () and Vasilios Sogiakas

Review of Quantitative Finance and Accounting, 2010, vol. 34, issue 1, 95-143

Keywords: Stock index futures contract; Structural break; Regime shift; APARCH; Rolling sample; SWARCH-L; C22; C52; C53; G15 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s11156-009-0149-4

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