The dynamics of the relationship between spot and futures markets under high and low variance regimes (Q5391281)
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scientific article; zbMATH DE number 5875030
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The dynamics of the relationship between spot and futures markets under high and low variance regimes |
scientific article; zbMATH DE number 5875030 |
Statements
The dynamics of the relationship between spot and futures markets under high and low variance regimes (English)
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6 April 2011
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volatility
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lead-lag relation
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Markov-switching model
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stock index futures
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