The Lead-Lag Relation Between The S&P500 Spot And Futures Markets: An Intraday-Data Analysis Using A Threshold Regression Model
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Yao, Can-Zhong & Lin, Qing-Wen, 2017. "The mutual causality analysis between the stock and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 478(C), pages 188-204.
- Gong, Chen-Chen & Ji, Shen-Dan & Su, Li-Ling & Li, Sai-Ping & Ren, Fei, 2016. "The lead–lag relationship between stock index and stock index futures: A thermal optimal path method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 63-72.
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