This paper describes the cointegration-based technologies commonly used to assess the relative price discovery across markets, namely the Hasbrouck information shares and Gonzalo-Granger long memory common factor weights, and presents a new metric denominated contemporaneous information...

This paper examines the partial adjustment factors of FTSE 100 stock index and stock index futures. Using high frequency data since January 15, 1997 until March 17, 2000, it aims to assess the informational impact of the new electronic trading systems recently implemented at London Stock...

The dependence structure analysis of a financial time series of returns is significant when applied to contemporary financial risk management. Copula function is a flexible and effective tool to be used on modeling the financial model and risk management. This paper aims to set up the dependence...