The Impact of Sampling Frequency on Intraday Correlation and Lead–Lag Relationships Between Index Futures and Individual Stocks

Publisher： John Wiley & Sons Inc

E-ISSN： 1096-9934|35|10|939-952

ISSN： 0270-7314

Source： THE JOURNAL OF FUTURES MARKETS, Vol.35, Iss.10, 2015-10, pp. : 939-952

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