Testing lead-lag effect and cointegration between FTSE 100 Index and its futures
Abstract This dissertation conducted a literature review on three areas: cointegration theory, the development of empirical cointegration studies, lead-lag relationship in spot market indices and future markets, and the spot-future cointegration. In the section, various markets have been examined an...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2008
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| Online Access: | https://eprints.nottingham.ac.uk/21887/ |