The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets
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More about this item
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-02 (All new papers)
- NEP-ETS-2004-06-02 (Econometric Time Series)
- NEP-FIN-2004-06-02 (Finance)
- NEP-FMK-2004-06-02 (Financial Markets)
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