Is twin behavior of Nikkei 225 index futures the same?
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DOI: 10.1016/j.physa.2006.11.010
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Cited by:
- Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2013. "Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1795-1802.
- Lahmiri, Salim, 2017. "Cointegration and causal linkages in fertilizer markets across different regimes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 181-189.
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Keywords
Jump-diffusion processes; ARJI; The twins; Granger causality test;All these keywords.
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