Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis-Reference-Cited by-同舟云学术

Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis

Published:2017-03-29 Issue:3 Volume:54 Page:1267-1295
ISSN:0377-7332
Container-title:Empirical Economics
language:en
Short-container-title:Empir Econ

Author:

Xu Xiaojie

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability

Link

http://link.springer.com/article/10.1007/s00181-017-1245-2/fulltext.html

Reference49 articles.

1. Almasri A, Shukur G (2003) An Illustration of the causality relation between government spending and revenue using wavelets analysis on finnish data. J Appl Stat 30:571–584. doi: 10.1080/0266476032000053682

2. Alzahrani M, Masih M, Al-Titi O (2014) Linear and non-linear Granger causality between oil spot and futures prices: a wavelet based test. J Int Money Financ 48:175–201. doi: 10.1016/j.jimonfin.2014.07.001

3. Beck SE (1994) Cointegration and market efficiency in commodities futures markets. Appl Econ 26:249–257. doi: 10.1080/00036849400000006

4. Baek EG, Brock WA (1992) A general test for nonlinear granger causality: bivariate model. Working paper, Korea Development Institute and Iowa State University, and University of Wisconsin-Madison

5. Bekiros SD, Diks CGH (2008) The relationship between crude oil spot and futures prices: cointegration, linear and nonlinear causality. Energy Econ 30:2673–2685. doi: 10.1016/j.eneco.2008.03.006

Cited by 61 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Spatial-temporal coupling and interactive effects of digital finance and green technology innovation: Empirical evidence from China;Journal of Cleaner Production;2024-09

2. Predictions of steel price indices through machine learning for the regional northeast Chinese market;Neural Computing and Applications;2024-08-19

3. Forecasts of thermal coal prices through Gaussian process regressions;Ironmaking & Steelmaking: Processes, Products and Applications;2024-07-23

4. Machine learning price index forecasts of flat steel products;Mineral Economics;2024-07-22

5. Office real estate price index forecasts through Gaussian process regressions for ten major Chinese cities;Advances in Computational Intelligence;2024-07-22