Analysis of the relationship between the volatility of stock index futures and spot based on long memory model

zbMATH Open1424.91131MaRDI QIDQ5382385FDOQ5382385

Authors: Saike Liu, Xiaoqun He 

Publication date: 21 June 2019

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zbMATH Keywords

long memoryvolatilityspot marketstock index futures

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (8)

• Empirical research on stochastic volatility model with cross-data
• Prediction of index futures returns and the analysis of financial spillovers-A comparison between GARCH and the grey theorem
• Futures trading and commodity spot market volatility: empirical evidence on selected commodities in Indian market
• Information transmission between futures and spot markets of the stock index in the abnormal market
• Research on the relationship between CSI 300 stock index futures and its underlying stock index
• Index future trading and spot market volatility in frontier markets: evidence from Ho Chi Minh Stock Exchange
• The empirical study on the influence of the stock market's impact under the introduction of stock index futures
• Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?

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