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Cross-correlations between spot and futures markets of nonferrous metals

✍ Scribed by Liu, Li; Wang, Yudong

Book ID: 122227317
Publisher: Elsevier Science
Year: 2014
Tongue: English
Weight: 744 KB
Volume: 400
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2014.01.009

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## Abstract This investigation is one of the first studies to examine the dynamics of the relationship between spot and futures markets using the Markov‐switching vector error correction model. Three mature stock markets including the U.S. S&P500, the U.K. FTSE100 and the German DAX 30, and two eme