Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns
Year of publication: |
2007
|
---|---|
Authors: | Canto, Bea ; Kräussl, Roman |
Institutions: | Center for Financial Studies |
Subject: | Intraday non-linearities | Dynamic Spillovers | Electronic Trading Systems | Price Discovery Process | Cost of Carry Model | Regime Switching Model | Vector Error Correction Mechanism | SETAR Model |
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