Volatility of a Market Index and its Components: An Application to Commodity Markets

Clinton Watkins and Michael McAleer

No 18, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: cross-sectional aggregation; GARCH; index contracts; volatility. (search for similar items in EconPapers)
JEL-codes: C22 C43 C51 (search for similar items in EconPapers)
Date: 2002-07-01
New Economics Papers: this item is included in nep-ets and nep-rmg
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Citations: View citations in EconPapers (1)

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