Intraday return dynamics and volatility spillovers between NSE S&P CNX Nifty stock index and stock index futures
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
http://www.tandfonline.com/doi/pdf/10.1080/13504851003742442
Reference28 articles.
1. Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market
2. A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100
3. A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market
4. Intraday Volatility in the Stock Index and Stock Index Futures Markets
5. Index futures leadership, basis behavior, and trader selectivity
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