Quantile information share under Markov regime‐switching-Reference-Cited by-同舟云学术

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Quantile information share under Markov regime‐switching

Published:2020-12-17 Issue:4 Volume:41 Page:493-513
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Lien Donald¹^ORCID,Wang Ziling²,Yu Xiaojian²³^ORCID

Affiliation:

1. College of Business The University of Texas at San Antonio San Antonio Texas United States

2. School of Economics and Finance South China University of Technology Guangzhou Guangdong China

3. Research Center of Financial Engineering, South China University of Technology Guangdong Guangzhou China

Funder

Fundamental Research Funds for the Central Universities

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22181

Reference59 articles.

1. Price discovery among SSE 50 Index‐based spot, futures, and options markets

2. Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. equity index futures markets

3. Time varying price discovery

4. Price discovery and common factor models

5. Price discovery and investor structure in stock index futures

Cited by 1 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. Price discovery in equity markets: A state-dependent analysis of spot and futures markets;Journal of Banking & Finance;2023-04

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