Browsing by Subject "S&P 500 E-mini Futures"
Now showing items 1-1 of 1
Time-varying price discovery and autoregressive loading factors: Evidence from S&P 500 cash and e-mini futures markets(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 ...