Browsing by Author "Li, Steven"
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.