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Index futures trading and spot volatility in China: A semiparametric approach with range‐based proxies

We relax the linear conditional mean assumption in Hsiao et al. (2012). Journal of Applied Econometrics, 27(5), 705-740 and extend it to a single-index semi-parametric setting. The asymptotic distribution properties are derived and the semi-parametric model is applied to study the treatment... Full description

1st Person: Tan, Na
Additional Persons: Peng, Yulei; Liu, Yanchu; Pan, Zhewen
Source: in The journal of futures markets Vol. 37, No. 10 (2017), p. 1003-1030
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Type of Publication: Article
Language: English
Published: 2017
Online: Volltext
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