A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets
Year of publication: |
January 2018
|
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Authors: | Gong, Yuting ; Chen, Qiang ; Liang, Jufang |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 68.2018, p. 586-598
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Subject: | Mixed data sampling | Copula | CSI 300 index futures | Liquidity | Return | Index-Futures | Index futures | Multivariate Verteilung | Multivariate distribution | Stichprobenerhebung | Sampling | Schätzung | Estimation | Aktienindex | Stock index |
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