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Value-at-risk forecasting of Chinese stock index and index future under jumps, permanent component, and asymmetric information
Li, Shaoyu; Wei, Lijia; Huang, Zehua - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 1072-1091
Persistent link: https://www.econbiz.de/10011563272
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The impact of trades by traders on asymmetric volatility for Nasdaq-100 index futures
Kittiakarasakun, Jullavut; Tse, Yiuman; Wang, George H. K. - In: Managerial finance 38 (2012) 8, pp. 752-767
Persistent link: https://www.econbiz.de/10009568698
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Who has an edge in trading index derivatives?
Jang, Jeewon; Kang, Jangkoo; Lee, Jaeram - In: The journal of futures markets 43 (2023) 3, pp. 325-348
Persistent link: https://www.econbiz.de/10014293070
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Information asymmetry around S&P 500 index changes
Ravi, Rahul; Hong, Youna - In: Review of accounting & finance 14 (2015) 2, pp. 106-127
Persistent link: https://www.econbiz.de/10011308967
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S&P 500 Index reconstitutions and information asymmetry
Baran, L. C.; King, T. H. D. - In: Applied financial economics 24 (2014) 10/12, pp. 777-791
Persistent link: https://www.econbiz.de/10010402561
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Estimation of trading costs : trade indicator models revisited
Theissen, Erik; Zehnder, Lars Simon - 2014
stocks of the DAX30 index) we find that the the average correlation between these variables is -0.193. We develop modified …
Persistent link: https://www.econbiz.de/10010399356
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Asymmetric structure of bid-ask spreads across the business cycle
Lin, Chien-Chih - In: Applied economics letters 23 (2016) 7/9, pp. 501-505
Persistent link: https://www.econbiz.de/10011627727
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Short-selling restrictions, strategic stock holdings and index futures markets in Finland
Hietala, Pekka T.; Jokivuolle, Esa; Koskinen, Yrjö - 1994
Persistent link: https://www.econbiz.de/10000898769
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Informed trading in S&P index options? : evidence from the 2008 financial crisis
Li, Wei-Xuan; French, Joseph J.; Chen, Clara Chia-Sheng - In: Journal of empirical finance 42 (2017), pp. 40-65
Persistent link: https://www.econbiz.de/10011808543
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Short-selling restrictions, strategic stock holdings and index futures markets in Finland
Hietala, Pekka T.; Jokivuolle, Esa; Koskinen, Yrjö - 1994
Persistent link: https://www.econbiz.de/10000146920