The Lead-Lag Relationship between the S&P 500 Spot and Futures Markets: An Intraday-Data Analysis Using Threshold Regression Model
In this paper we examine the lead-lag interaction between the futures and spot markets of the S&P500 using the threshold regression model on intraday data. The use of threshold variables to model the changes in the regression structure with respect to different market conditions enab...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/492 |
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| Institution: | Singapore Management University |
| Language: | English |
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