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Lead-lag relationship between spot and futures stock indexes : intraday data and regime-switching models
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: International review of economics & finance : IREF 68 (2020), pp. 269-280
Persistent link: https://www.econbiz.de/10012486492
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The predictability of opening returns for the returns of the trading day : evidence from Taiwan futures market
Chen, Chun-nan - In: International review of economics & finance : IREF 25 (2013), pp. 272-281
Persistent link: https://www.econbiz.de/10009693299
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Robust hedging performance and volatility risk in option markets : application to Standard and Poor's 500 and Taiwan index options
Han, Chuan-Hsiang; Chang, Chien-Hung; Kuo, Chii-Shyan; … - In: International review of economics & finance : IREF 40 (2015), pp. 160-173
Persistent link: https://www.econbiz.de/10011573571
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Transaction costs, arbitrage, and volatility spillover : a note
Aragó, V.; Corredor, Pilar; Santamaría Aquilué, Rafael - In: International review of economics & finance : IREF 12 (2003) 3, pp. 399-415
Persistent link: https://www.econbiz.de/10001797311
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The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang; Lee, Chingnun - In: International review of economics & finance : IREF 69 (2020), pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
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Using VIX futures to hedge forward implied volatility risk
Lin, Yueh-neng; Lin, Anchor Y. - In: International review of economics & finance : IREF 43 (2016), pp. 88-106
Persistent link: https://www.econbiz.de/10011625539
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On profitability of volatility trading on S&P 500 equity index options : the role of trading frictions
Hong, Hui; Sung, Hao-Chang; Yang, Jingjing - In: International review of economics & finance : IREF 55 (2018), pp. 295-307
Persistent link: https://www.econbiz.de/10012033481
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Price discovery between regular and mini index futures in the Taiwan Futures Exchange
Wang, Yun-Yi; Chang, Chiung-chiao; Lee, Wan-chen - In: International review of economics & finance : IREF 27 (2013), pp. 224-237
Persistent link: https://www.econbiz.de/10009740819
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Price discovery in the S&P 500 index derivatives markets
Chen, Wei Peng; Chung, Huimin; Lien, Da-hsiang Donald - In: International review of economics & finance : IREF 45 (2016), pp. 438-452
Persistent link: https://www.econbiz.de/10011626500
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How does news flow affect cross-market volatility spillovers? : evidence from China’s stock index futures and spot markets
Zhou, Xinmiao; Zhang, Junru; Zhang, Zhaoyong - In: International review of economics & finance : IREF 73 (2021), pp. 196-213
Persistent link: https://www.econbiz.de/10012692222