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The dynamics of stock index and stock index futures returns
Stoll, Hans R. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 4, pp. 441-468
Persistent link: https://www.econbiz.de/10001098664
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Measuring true stock index value in the presence of infrequent trading
Jokivuolle, Esa - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 3, pp. 455-464
Persistent link: https://www.econbiz.de/10001217159
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Identifying the effect of stock indexing : impetus or impediment to arbitrage and price discovery?
Ahn, Byung Hyun; Patatoukas, Panos N. - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 5, pp. 2022-2062
Persistent link: https://www.econbiz.de/10013367056
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On the estimation of bid-ask spreads : theory and evidence
Choi, Jong-yeon - In: Journal of financial and quantitative analysis : JFQA 23 (1988) 2, pp. 219-230
Persistent link: https://www.econbiz.de/10001053420
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Trading frictions and futures price movements
Goldenberg, David Harold - In: Journal of financial and quantitative analysis : JFQA 23 (1988) 4, pp. 465-481
Persistent link: https://www.econbiz.de/10001060141
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Option pricing when the variance changes randomly : theory, estimation, and an application
Scott, Louis O. - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 4, pp. 419-438
Persistent link: https://www.econbiz.de/10001043904
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Price dynamics in the regular and E-mini futures markets
Kurov, Alexander; Lasser, Dennis J. - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 2, pp. 365-384
Persistent link: https://www.econbiz.de/10002103694
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Stock market uncertainty and the stock-bond return relation
Connolly, Robert A.; Stivers, Christopher T.; Sun, Licheng - In: Journal of financial and quantitative analysis : JFQA 40 (2005) 1, pp. 161-194
Persistent link: https://www.econbiz.de/10002699485
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Prices as aggregators of private information : evidence from S&P 500 futures data
Cho, Jin-Wan; Krishnan, Murugappa - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 1, pp. 111-126
Persistent link: https://www.econbiz.de/10001492515
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Are jumps in stock returns diversifiable? : Evidence and implications for option pricing
Kim, Myung-jig - In: Journal of financial and quantitative analysis : JFQA 29 (1994) 4, pp. 609-631
Persistent link: https://www.econbiz.de/10001175113