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Trading and non-trading time return dynamics : an analysis of Swedih OMX stock index and forward returns using a GARCH framework
Hördahl, Peter; Nordén, Lars - 1996
Persistent link: https://www.econbiz.de/10000932356
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Volume determination in stock and stock index futures markets : an analysis of arbitrage and volatility effects
Merrick, John J. - 1987
Persistent link: https://www.econbiz.de/10000741962
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Settlement, tax and non-synchronous effects in the basis of UK stock index futures
Theobald, Michael; Yallup, Peter - 1996
Persistent link: https://www.econbiz.de/10000598332
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Arbitragemöglichkeiten bei fixen Aktien- und Aktienindextermingeschäften : vertieft am Beispiel von DAX-Futures mit unterschiedlicher Laufzeit
Neumann, Kai - 1999
Der Autor analysiert die theoretische und empirische Preisbeziehung zwischen fixen Aktienindexterminkontrakten auf den gleichen Kontraktgegenstand (DAX) mit unterschiedlicher Fälligkeit. Die Untersuchung dieser Beziehung ist von der empirischen Kapitalmarktforschung bislang mit Hinweis auf die...
Persistent link: https://www.econbiz.de/10011401952
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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
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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 …
Persistent link: https://www.econbiz.de/10009750074
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A partially linear approach to modelling the dynamics of spot and futures prices
Gaulke, Jürgen (contributor); Theissen, Erik (contributor) - 2008
In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially …
Persistent link: https://www.econbiz.de/10003750067
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Settlement, tax and non-synchronous effects in the basis of UK stock index futures
Theobald, Michael - In: Journal of banking & finance 20 (1996) 9, pp. 1509-1530
Persistent link: https://www.econbiz.de/10001207828
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Lower-boundary violations and market efficiency : evidence from the German DAX-index options markets
Mittnik, Stefan; Rieken, Sascha - In: The journal of futures markets 20 (2000) 5, pp. 405-424
Persistent link: https://www.econbiz.de/10001500108