Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets
Hou, Yang, Li, Steven, Wen, FenghuaJournal:
Review of Quantitative Finance and Accounting
DOI:
10.1007/s11156-020-00940-7
Date:
October, 2020
Fichier:
PDF, 898 KB
2020