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A bivariate generalized autoregressive conditional heteroscedasticity‐in‐mean study of the relationship between return variability and trading volume in international futures markets
Author(s) -
Jacobs Michael,
Onochie Joseph
Publication year - 1998
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/(sici)1096-9934(199806)18:4<379::aid-fut2>3.0.co;2-z
Subject(s) - futures contract , heteroscedasticity , economics , management , financial economics , econometrics