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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2022
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| Materias: | |
| 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 |