The time-varying lead-lag relationship between index futures and the cash index and its factors
Author:
Affiliation:
1. Business School, Hunan University, Changsha, China
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/1331677X.2022.2090404
Reference36 articles.
1. Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models
2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
3. Modeling and Forecasting Realized Volatility
4. A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market
5. Price discovery in the S&P 500 index derivatives markets
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