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Calendar anomalies in cash and stock index futures : international evidence
Floros, Christos; Salvador, Enrique - In: Economic modelling 37 (2014), pp. 216-223
Persistent link: https://www.econbiz.de/10010417707
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Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes : an application of the trivariate FIEC-FIGARCH model
Liu, Hsiang-hsi - In: Economic modelling 29 (2012) 6, pp. 2724-2733
Persistent link: https://www.econbiz.de/10009673617
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Modeling dependence structures among international stock markets : evidence from hierarchical Archimedean copulas
Yang, Lu; Cai, Xiao Jing; Mengling Li; Hamori, Shigeyuki - In: Economic modelling 51 (2015), pp. 308-314
Persistent link: https://www.econbiz.de/10011476020
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Nonlinear dynamics in arbitrage of the S&P 500 index and futures : a threshold error-correction model
Kim, Bonghan; Chun, Sun Eae; Min, Hong-ghi - In: Economic modelling 27 (2010) 2, pp. 566-573
Persistent link: https://www.econbiz.de/10003952857
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Stochastic dominance relationships between stock and stock index futures markets : international evidence
Qiao, Zhuo; Wong, Wing Keung; Fung, Joseph K. W. - In: Economic modelling 33 (2013), pp. 552-559
Persistent link: https://www.econbiz.de/10010193326
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A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets
Gong, Yuting; Chen, Qiang; Liang, Jufang - In: Economic modelling 68 (2018), pp. 586-598
Persistent link: https://www.econbiz.de/10011936141
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Impacts of asymmetry on forecasting realized volatility in Japanese stock markets
Maki, Daiki; Ota, Yasushi - In: Economic modelling 101 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012796559
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Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns
Lai, Hung-Cheng; Wang, Kuan Min - In: Economic modelling 41 (2014), pp. 156-165
Persistent link: https://www.econbiz.de/10010438382
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Information transmission between U.S. and China index futures markets : an asymmetric DCC GARCH approach
Hou, Yang; Li, Steven - In: Economic modelling 52 (2016), pp. 884-897
Persistent link: https://www.econbiz.de/10011643072
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The distribution of index futures realised volatility under seasonality and microstructure noise
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: Economic modelling 93 (2020), pp. 398-414
Persistent link: https://www.econbiz.de/10012430196