Browsing by Author "Li, Steven"
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Time-varying price discovery and autoregressive loading factors: Evidence from S&P 500 cash and e-mini futures markets
Hou, Yang (Greg); Li, Steven (2017)The error correction coefficients, known as the loading factors, are a key component for price discovery measurement. So far, the loading factors have always been assumed as static. This paper is the first one to investigate ... -
Volatility and skewness spillover between stock index and stock index futures markets during the crash period: New evidence from China
Hou, Yang (Greg); Li, Steven (2018)This paper examines volatility and skewness spillover between the Chinese stock index and index futures markets during a market crash in 2015. The volatility spillover from futures to spot is significant and stronger than ...
Co-authors for Steven Li
Steven Li has 1 co-authors in Research Commons.