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Studies in Economics and Econometrics Volume 42, 2018 - Issue 1
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Original Article

Volatility Spillover Between the FTSE/JSE Top 40 Index and Index Futures: A Bekk-Garch and DCC-Garch Approach

K. McCulloughCorrespondence[email protected]
,
M. MurraySchool of Mathematics, Statistics and Computer Science, University of KwaZulu-Natal, Westville Campus
&
B. StrydomSchool of Accounting, Economics and Finance, University of KwaZulu-Natal, Pietermaritzburg Campus
Pages 63-86 | Published online: 09 Nov 2020

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Read on this site (1)

Izunna Chima Anyikwa & Andrew Phiri. (2023) Dynamics of return and volatility spill-over between developed, emerging and African equity markets during the Covid-19 pandemic and Russia–Ukraine war. Studies in Economics and Econometrics 47:2, pages 144-168.
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Articles from other publishers (2)

Satyaban Sahoo & Sanjay Kumar. (2023) Volatility Spillover Among the Sustainable Indices of Emerging Markets: Evidence from Pre-COVID and COVID Periods. Vision: The Journal of Business Perspective.
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Satyaban Sahoo & Sanjay Kumar. (2022) Integration and Volatility Spillover Among Environmental, Social and Governance Indices: Evidence from BRICS Countries. Global Business Review 23:6, pages 1280-1298.
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