Lead-lag relationship between spot and futures stock indexes : intraday data and regime-switching models
Nuria Alemany, Vicent Aragó, Enrique Salvador
| 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 | Aktienindex | Stock index | Börsenkurs | Share price | Arbitrage | Index-Futures | Index futures | Volatilität | Volatility | ARCH-Modell | ARCH model | Spotmarkt | Spot market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2020.03.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012486492