Threshold non-linear dynamics between Hang Seng stock index and futures returns
Hon-Lun Chung, Wai-Sum Chan and Jonathan A. Batten
| Year of publication: |
2011
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|---|---|
| Authors: | Chung, Hon-lun ; Chan, Wai-Sum ; Batten, Jonathan A. |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 17.2011, 7/8, p. 471-486
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| Subject: | lead-lag relationship | threshold autoregression | non-linearity test | futures markets | Hang Seng index | Aktienindex | Stock index | Hongkong | Hong Kong | Index-Futures | Index futures | Börsenkurs | Share price | Nichtlineare Regression | Nonlinear regression | Schätztheorie | Estimation theory | Effizienzmarkthypothese | Efficient market hypothesis | Derivat | Derivative | Autokorrelation | Autocorrelation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009509864