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Keywords: CCC BGARCH
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2015) 32 (1): 128–154.
Published: 02 March 2015
... that Ft and St are cointegrated with a common stochastic trend. Thus, we can obtain the following cointegrating relationship between these two price series: Equation 1 © Emerald Group Publishing Limited 2015 CCC BGARCH CSI 300 index futures DCC BGARCH...
