Intraday price information flows between the CSI300 and futures market : an application of wavelet analysis
Year of publication: |
May 2018
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Authors: | Xu, Xiaojie |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 54.2018, 3, p. 1267-1295
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Subject: | CSI300 | Spot | Futures | Information flow | Causality | Wavelet method | Zustandsraummodell | State space model | Kausalanalyse | Causality analysis | Informationsverbreitung | Information dissemination | Theorie | Theory | Spotmarkt | Spot market | Rohstoffderivat | Commodity derivative |
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