In order to quantify the long-range cross-correlations between two time series qualitatively,
we introduce a new cross-correlations test Q CC (m), where m is the number of degrees of …

Bitcoin futures were introduced in December 2017 and this was seen by some as a sign of
the most popular cryptocurrency finally being accepted by the financial community. In this …

Uno de los supuestos de los modelos de valoración de activos financieros es la presunción
de mercados bursátiles eficientes, en el presente trabajo se estudia la evolución de la …

Material production drives an increasingly large fraction of CO2‐equivalent emissions.
Material efficiency strategies such as recycling serve to reduce these emissions. Current …

A TGARCH modeling is argued to be the optimal basis for investigating the impact of index
futures trading on spot price variability. We discuss the CSI-300 index (China-Shanghai …

This paper considers CSI 300 Index futures and the underlying index from April 2010 to
December 2018 based on high frequency data to test the price discovery function and …

El presente trabajo tiene como objetivo comprobar la eficiencia débil en los 5 principales
mercados bursátiles de Latinoamérica, usando 2 enfoques; primero se evalúa la …

This study provides empirical evidence of the relationship between spot and futures markets
in Korea. In particular, the study focuses on the volatility spillover relationship between spot …

The study of lead–lag relationship between stock index and stock index futures is of great
importance for its wide application in hedging and portfolio investments. Previous works …

This paper proposes a predictive CoVaR measure to analyze asynchronous risk spillovers
between the Chinese stock and futures market. We jointly model the intraday CoVaR …