Similar Search Results

Narrow search

Market making with price limits

Kuserk, Gregory J. - In: The journal of futures markets 16 (1996) 6, pp. 677-696

Persistent link: https://www.econbiz.de/10001206956

Standard & Poor's 500 Index futures volatility and price changes around the New York Stock Exchange close

Chang, Eric Chieh - In: The journal of business : B 68 (1995) 1, pp. 61-84

Persistent link: https://www.econbiz.de/10001177499

Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash

Dwyer, Gerald P. <jun.> - In: The review of financial studies 9 (1996) 1, pp. 301-332

Persistent link: https://www.econbiz.de/10001198903

Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash

Dwyer, Gerald P. <jun.>; Locke, Peter R.; Yu, Wei - 1995

Persistent link: https://www.econbiz.de/10000925747

Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash

Gerald P. Dwyer, Jr.; Locke, Peter; Yu, Wei - 1995

We use a cost of carry model with nonzero transactions costs to motivate estimation of a nonlinear dynamic relationship between the S&P 500 futures and cash indexes. Discontinuous arbitrage suggests that a threshold error correction mechanism may characterize many aspects of the relationship...

Persistent link: https://www.econbiz.de/10010397479

Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash

Gerald P. Dwyer, Jr.; Locke, Peter; Yu, Wei - Federal Reserve Bank of Atlanta - 1995

Persistent link: https://www.econbiz.de/10005401899