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British stock market prices and returns over three centuries : a review of statistical methods and data sources

Green, Christopher J. - 1997

Persistent link: https://www.econbiz.de/10000957008

Factors or fantasies? : An analysis of stock returns by industry

Green, Christopher J. (contributor) - 1997

Persistent link: https://www.econbiz.de/10000960687

Asymmetries, causality and correlation between FTSE100 spot and futures : a DCC-TGARCH-M analysis

Tao, Juan; Green, Christopher J. - In: International review of financial analysis 24 (2012), pp. 26-37

Persistent link: https://www.econbiz.de/10009688185

Born in the USA? :contagious investor sentiment and UK equity returns

Hudson, Yawen; Green, Christopher J. - 2013

Persistent link: https://www.econbiz.de/10010236517

Determinants of cross-sectional stock return variations in emerging markets

Bai, Ye; Green, Christopher J. - In: Empirical economics : a journal of the Institute for … 41 (2011) 1, pp. 81-102

Persistent link: https://www.econbiz.de/10009234013

The great rebound, the great crash, and persistence in British stock prices

Zhuang, Yaqin (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001517012

Unified tests of causality and cost of carry : the pricing of the French stock index futures contract

Green, Christopher J.; Joujon, Emmanuel - In: International journal of finance & economics : IJFE 5 (2000) 2, pp. 121-140

Persistent link: https://www.econbiz.de/10001519416

Unified tests of causality and cost of carry : the pricing of the French stock index futures contract

Green, Christopher J.; Joujon, Emmanuel - 1998

Persistent link: https://www.econbiz.de/10000985515

Spot-futures price adjustments in the Nikkei 225: linear or smooth transition? : financial centre leadership or home bias?

Qin, Jieye; Green, Christopher J.; Sirichand, Kavita - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-31

This paper studies price discovery in Nikkei 225 markets through the nonlinear smooth transition price adjustments between spot and future prices and across all three futures markets. We test for smooth transition nonlinearity and employ an exponential smooth transition error correction model...

Persistent link: https://www.econbiz.de/10014305752