The impact of sampling frequency on intraday correlation and lead-lag relationships between index futures and individual stocks

Research output: Contribution to conference › Conference paper

Original language	English
Publication status	Published - Oct 2014
Event	3rd International Conference on Futures and Derivative Markets = 第三届期货与衍生品市场国际会议 - Shanghai, China Duration: 31 Oct 2014 → 1 Nov 2014

Conference	3rd International Conference on Futures and Derivative Markets = 第三届期货与衍生品市场国际会议
Period	31/10/14 → 1/11/14

Cite this

@conference{1281bf281d0c460f93de057ce49bfa56,

title = "The impact of sampling frequency on intraday correlation and lead-lag relationships between index futures and individual stocks",

author = "Fung, \{Kwun Wing\} and Francis Lau and Yiuman Tse",

year = "2014",

month = oct,

language = "English",

note = "3rd International Conference on Futures and Derivative Markets = 第三届期货与衍生品市场国际会议 ; Conference date: 31-10-2014 Through 01-11-2014",

}

The impact of sampling frequency on intraday correlation and lead-lag relationships between index futures and individual stocks. / Fung, Kwun Wing; Lau, Francis; Tse, Yiuman.
2014. Paper presented at 3rd International Conference on Futures and Derivative Markets = 第三届期货与衍生品市场国际会议.

Research output: Contribution to conference › Conference paper

TY - CONF

T1 - The impact of sampling frequency on intraday correlation and lead-lag relationships between index futures and individual stocks

AU - Fung, Kwun Wing

AU - Lau, Francis

AU - Tse, Yiuman

PY - 2014/10

Y1 - 2014/10

M3 - Conference paper

T2 - 3rd International Conference on Futures and Derivative Markets = 第三届期货与衍生品市场国际会议

Y2 - 31 October 2014 through 1 November 2014

ER -