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Hedging with future : multivariante dynamic conditional correlation GARCH

Kolokolov, Aleksey - In: Market risk and financial markets modeling, (pp. 63-72). 2012

Persistent link: https://www.econbiz.de/10009514454

Do call prices and the underlying stock always move in the same direction?

Bakshi, Gurdip S.; Cao, Charles Q.; Chen, Zhiwu - In: The review of financial studies 13 (2000) 3, pp. 549-584

Persistent link: https://www.econbiz.de/10001499744

Price discovery in the Indian stock index futures market

Ranajee; Pathak, Rajesh - In: The empirical economics letters : a monthly … 17 (2018) 11, pp. 1339-1349

Persistent link: https://www.econbiz.de/10012006904

Currency-adjusted stock index causality and cointegration : evidence from intraday data

Jalbert, Terrance - In: The international journal of business and finance … 9 (2015) 5, pp. 83-91

Persistent link: https://www.econbiz.de/10011383380

Explaining the dynamics of the NIKKEI 225 stock and stock index futures markets by using the SETAR model

Tsuji, Chikashi - In: Applied financial economics letters 3 (2007) 2, pp. 77-83

Persistent link: https://www.econbiz.de/10003540179

Threshold non-linear dynamics between Hang Seng stock index and futures returns

Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: The European journal of finance 17 (2011) 7/8, pp. 471-486

Persistent link: https://www.econbiz.de/10009509864

Arbitragemöglichkeiten bei fixen Aktien- und Aktienindextermingeschäften : vertieft am Beispiel von DAX-Futures mit unterschiedlicher Laufzeit

Neumann, Kai - 1999

des Cost of Carry Modells anhand von ausnutzbaren Arbitragemöglichkeiten (unter Berücksichtigung von Transaktionskosten …

Persistent link: https://www.econbiz.de/10011401952

A partially linear approach to modeling the dynamics of spot and futures prices

Gaul, Jürgen; Theissen, Erik - In: The journal of futures markets 35 (2015) 4, pp. 371-384

Persistent link: https://www.econbiz.de/10011348414

A partially linear approach to modelling the dynamics of spot and futures prices

Gaul, Jürgen; Theissen, Erik - 2012 - This version: August 2012

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...

Persistent link: https://www.econbiz.de/10009750074

Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities

Zhou, Yinggang - In: Journal of banking & finance 38 (2014), pp. 216-228

Persistent link: https://www.econbiz.de/10010340777

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