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The impact of stock index futures trading on daily returns seasonality : a multicountry study
Faff, Robert W.; McKenzie, Michael D. - In: The journal of business : B 75 (2002) 1, pp. 95-125
Persistent link: https://www.econbiz.de/10001641883
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The effects of stock index futures trading on stock index volatility : an analysis of the asymmetric response of volatility to news
Antoniou, Antonios - In: The journal of futures markets 18 (1998) 2, pp. 151-166
Persistent link: https://www.econbiz.de/10001239196
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Stock market price indices modelling by a small scale Bayesian VAR : the case of British FTSE and German DAX index
Bikár, Miloš; Hodula, Martin - In: Ekonomický časopis : časopis pre ekonomickú … 64 (2016) 8, pp. 737-750
Persistent link: https://www.econbiz.de/10011582851
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Superexogeneity and the dynamic linkages among international equity markets
Francis, Bill B. - In: Journal of international money and finance 17 (1998) 3, pp. 475-502
Persistent link: https://www.econbiz.de/10001246596
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Besteuerung von Termingeschäften in Aktienindizes
Redanz, Ulf - 1995
Persistent link: https://www.econbiz.de/10000549412
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Eine Analyse der Strategieindizes der Deutsche Börse AG : Motivation, Konstruktion und Bewertung von DivDAX, LevDAX & Co.
Kaya, Michael - 2007 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003417069
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Arbitragemöglichkeiten bei fixen Aktien- und Aktienindextermingeschäften : vertieft am Beispiel von DAX-Futures mit unterschiedlicher Laufzeit
Neumann, Kai - 1999
Neumann die Preisbeziehung zwischen FDAXT1 und FDAXT2 für den Zeitraum März 1992 bis Dezember 1997 und testet die Gültigkeit …
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 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
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The real benchmark of DAX index products and the influence of information dissemination : a natural experiment
Schmidhammer, Christoph; Lobe, Sebastian; Röder, Klaus - In: The journal of asset management 15 (2014) 2, pp. 129-149
Persistent link: https://www.econbiz.de/10010384769