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Intraday price dynamics in spot and derivatives markets · Study

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ArticleIntraday price dynamics in spot and derivatives markets

Jun Sik Kim2013

Article2013

Intraday price dynamics in spot and derivatives markets

Jun Sik Kim · Doojin Ryu

18 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag 1990The Dynamics of Stock Index and Stock Index Futures Returns 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index 2009The Transmission of Financial Stress from Advanced to Emerging Economies 2003Dynamic asset trees and Black Monday 2011Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China 2008Informed trading in the index option market: The case of KOSPI 200 options

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Year2013

Typearticle

Published2013-09-27

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations18

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2013.09.041

openalex_workW2070183565

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