Work

The linear and nonlinear lead–lag relationship among three SSE 50 Index markets: The index futures, 50ETF spot and options markets

Year: 2019

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2019.04.056

Authors: Tao Jiang, Si Bao, Long Li

Institution: East China Normal University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2928638055

FWCI: 4.172

Cites: 27

Cited by: 20

Related to: 10