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The Impact of Sampling Frequency on Intraday Correlation and Lead–Lag Relationships Between Index Futures and Individual Stocks |
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| Authors: | Joseph KW Fung Francis Lau Yiuman Tse |
| Institution: | 1. Joseph K.W. Fung is a Professor of Finance at Hong Kong Baptist University, Hong Kong, and a Member of Council of AdvisorsHong Kong Institute for Monetary Research, Hong Kong;2. Francis Lau is a Ph.D. Candidate in Finance atHong Kong Baptist University, Hong Kong;3. Yiuman Tse is the Peter G. Schick Endowed Professor of FinanceUniversity of Missouri—St. Louis, St. Louis, Missouri |
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