Time-varying information share and autoregressive loading factors : evidence from S&P 500 cash and E-mini futures markets
Yang Hou, Steven Li, Fenghua Wen
| Year of publication: |
2021
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|---|---|
| Authors: | Hou, Yang ; Li, Steven ; Wen, Fenghua |
| Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 57.2021, 1, p. 91-110
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| Subject: | Price discovery | Information share | S&P 500 E-mini futures | AGDCC GARCH | Loading factor | Error correction coefficient | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-020-00940-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012549905