Structural Change and Lead-Lag Relationship between the Nikkei Spot Index and Futures Price: A Genetic Programming Approach

• المؤلفون الرئيسيون: LIEN, Donald, TSE, Yiu Kuen, CHANG, X. B.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2002
• الموضوعات: structural change; operating mechanism; genetic programming; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research_all/4; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1003&context=soe_research_all

In this paper we adopt a nonparametric genetic programming approach to identify the structural changes in the Nikkei spot index and futures price. Due to the dominance of the “normal” period in sample size, the lead-lag relationship identified in the spot-futures system based on conventional methods...