Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic

This paper introduces thermal optimal path method to investigate the dynamics lead-lag relationship of jumps among Chinese stock index and futures market under the background of the Covid-19 epidemic. Based on three representative stock indexes and their index futures in China, we find the lead-lag...

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Detalles Bibliográficos
Autores principales: Liu, Wenwen, Gui, Yiming, Qiao, Gaoxiu
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9047555/
https://www.ncbi.nlm.nih.gov/pubmed/35506059
http://dx.doi.org/10.1016/j.ribaf.2022.101669

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9047555/
https://www.ncbi.nlm.nih.gov/pubmed/35506059
http://dx.doi.org/10.1016/j.ribaf.2022.101669

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