A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets
Yuting Gong, Qiang Chen, Jufang Liang
| Year of publication: |
January 2018
|
|---|---|
| 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 | Aktienindex | Stock index | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2017.03.023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011936141