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Intraday and interday basis dynamics : evidence from the FTSE 100 index futures market
Garrett, Ian (contributor); Taylor, Nicholas (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 5 (2001) 2, pp. 133-152
Persistent link: https://www.econbiz.de/10001769747
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A new econometric model of index arbitrage
Taylor, Nicholas - In: European financial management : the journal of the … 13 (2007) 1, pp. 159-183
Persistent link: https://www.econbiz.de/10003550387
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Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?
Brooks, Chris; Garrett, Ian - In: Applied financial economics 12 (2002) 1, pp. 25-31
Persistent link: https://www.econbiz.de/10001646093
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An alternative approach to investigating lead-lag relationships between stock and stock index futures markets
Brooks, Chris; Garrett, Ian; Hinich, Melvin J. - In: Applied financial economics 9 (1999) 6, pp. 605-613
Persistent link: https://www.econbiz.de/10001525291