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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
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MOSES : model for studying the economy in Sweden
Bårdsen, Gunnar; Reijer, Ard H. J. den; Jonasson, Patrik; … - In: Economic modelling 29 (2012) 6, pp. 2566-2582
Persistent link: https://www.econbiz.de/10009673659
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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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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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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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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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Hedging performance of REIT index futures : a comparison of alternative hedge ratio estimation methods
Zhou, Jian - In: Economic modelling 52 (2016), pp. 690-698
Persistent link: https://www.econbiz.de/10011643001
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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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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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Arbitrage and leverage strategies in bubbles under synchronization risks and noise-trader risks
Tan, Senren; Zhuo, Jin; Wu, Fuke - In: Economic modelling 49 (2015), pp. 331-343
Persistent link: https://www.econbiz.de/10011439593