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The price effects of FTSE 100 index revision : what drives the long-term abnormal return reversal?

Mazouz, Khelifa; Saadouni, Brahim - In: Applied financial economics 17 (2007) 4/6, pp. 501-510

Persistent link: https://www.econbiz.de/10003446111

The overreaction hypothesis in the UK market : empirical analysis

Mazouz, Khelifa; Li, Xiafei - In: Applied financial economics 17 (2007) 13/15, pp. 1101-1111

Persistent link: https://www.econbiz.de/10003590536

Commodity futures price behaviour following large one-day price changes

Mazouz, Khelifa; Wang, Jian - In: Applied financial economics 24 (2014) 13/15, pp. 939-948

Persistent link: https://www.econbiz.de/10010410296

Testing of seasonal fractional integration in UK and Japanese consumption and income

Gil-Alaña, Luis A.; Robinson, Peter M. - 1998

Persistent link: https://www.econbiz.de/10000994028

Testing of seasonal fractional integration in UK and Japanese consumption and income

Gil-Alaña, Luis A. - 1998

Persistent link: https://www.econbiz.de/10013420179

Does options listing impact on the time-varying risk characteristics of the underlying stocks? : evidence from NYSE stocks listed on the CBOE

Mazouz, Khelifa; Bowe, Michael - In: Applied financial economics 19 (2009) 1/3, pp. 203-212

This article extends Mayhew and Mihov (2004) and Mazouz (2004) by investigating if either the (time-varying) systematic or diversifiable risk of a NYSE-traded stock is impacted when its option is listed on the Chicago Board Option Exchange (CBOE). We employ a Kalman Filter to estimate...

Persistent link: https://www.econbiz.de/10003825907

Testing for stock market bubbles using nonlinear models and fractional integration

Cuñado Eizaguirre, Juncal; Gil-Alaña, Luis A.; Perez … - In: Applied financial economics 17 (2007) 16/18, pp. 1313-1321

Persistent link: https://www.econbiz.de/10003605836

The weekly structure of US stock prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics 21 (2011) 22/24, pp. 1757-1764

Persistent link: https://www.econbiz.de/10009384839

Fractional integration in the purchasing power parity

Gil-Alaña, Luis A. - 1998

Persistent link: https://www.econbiz.de/10000994027