Structural Change and Lead-Lag Relationship between the Nikkei Spot Index and Futures Price: A Genetic Programming Approach
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2002
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| Subjects: | |
| Online Access: | 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 |
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| Institution: | Singapore Management University |
| Language: | English |