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Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model

โœ Scribed by Ming-Yuan Leon Li

Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
302 KB
Volume
79
Category
Article
ISSN
0378-4754

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Much research has investigated the lead-lag relationship of the cash market and the stock index futures market with the use of transaction data.