Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
https://link.springer.com/content/pdf/10.1007/s11156-020-00940-7.pdf
Reference48 articles.
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3. Ates A, Wang GHK (2005) Information transmission in electronic versus open-outcry trading systems: an analysis of U.S. equity index futures markets. J Fut Mark 25(7):679–715. https://doi.org/10.1002/fut.20160
4. Avino D, Lazar E, Varotto S (2015) Time varying price discovery. Econ Lett 126:18–21. https://doi.org/10.1016/j.econlet.2014.09.030
5. Back K, Pederson H (1998) Long-lived information and intraday patterns. J Financ Mark 1:385–402. https://doi.org/10.1016/S1386-4181(97)00003-7
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