Lead-lag relationship between spot and futures stock indexes : intraday data and regime-switching models
Year of publication: |
2020
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Authors: | Alemany, Nuria ; Aragó, Vicent ; Salvador, Enrique |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 68.2020, p. 269-280
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Subject: | Arbitrage opportunities | Intraday data | Lead-lag relationship | Regime-switching models | Arbitrage | Aktienindex | Stock index | Volatilität | Volatility | Börsenkurs | Share price | Index-Futures | Index futures | ARCH-Modell | ARCH model | Derivat | Derivative | Markov-Kette | Markov chain | Spotmarkt | Spot market |
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