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Intraday and interday basis dynamics : evidence from the FTSE 100 index futures market

Garrett, Ian (contributor); Taylor, Nicholas (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 5 (2001) 2, pp. 133-152

Persistent link: https://www.econbiz.de/10001769747

The economic and statistical significance of spread forecasts : evidence from the London Stock Exchange

Taylor, Nicholas - In: Journal of banking & finance 26 (2002) 4, pp. 795-818

Persistent link: https://www.econbiz.de/10001656950

Competition on the London Stock Exchange

Taylor, Nicholas - In: European financial management : the journal of the … 8 (2002) 4, pp. 399-419

Persistent link: https://www.econbiz.de/10001861032

The village in the city

Taylor, Nicholas - 1973

Persistent link: https://www.econbiz.de/10004707251

Winter blues and time variation in the price of risk

Garrett, Ian; Kamstra, Mark; Kramer, Lisa - 2004

Previous research has documented robust links between seasonal variation in length of day, seasonal depression (known as seasonal affective disorder, or SAD), risk aversion, and stock market returns. The influence of SAD on market returns, known as the SAD effect, is large. The authors study the...

Persistent link: https://www.econbiz.de/10010397599

Calculating the equity cost of capital using the APT : the impact of the ERM

Antoniou, Antonios; Garrett, Ian; Priestley, Richard - In: Journal of international money and finance 17 (1998) 6, pp. 949-965

Persistent link: https://www.econbiz.de/10001381763

To what extent did stock index futures contribute to the October 1987 stock market crash?

Antoniou, Antonios - In: The economic journal : the journal of the Royal … 103 (1993) 421, pp. 1444-1461

Persistent link: https://www.econbiz.de/10001153264

Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?

Brooks, Chris; Garrett, Ian - In: Applied financial economics 12 (2002) 1, pp. 25-31

Persistent link: https://www.econbiz.de/10001646093

Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory

Antoniou, Antonios; Garrett, Ian; Priestley, Richard - In: Journal of empirical finance 5 (1998) 3, pp. 221-240

Persistent link: https://www.econbiz.de/10001668827

An alternative approach to investigating lead-lag relationships between stock and stock index futures markets

Brooks, Chris; Garrett, Ian; Hinich, Melvin J. - In: Applied financial economics 9 (1999) 6, pp. 605-613

Persistent link: https://www.econbiz.de/10001525291