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Program trading and individual stock returns : ingredients of the triple-witching brew
Stoll, Hans R.
Persistent link: https://www.econbiz.de/10001274007
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Expiration-day effects of the all ordinaries share price index futures : empirical evidence and alternative settlement procedures
Stoll, Hans R. - In: Australian journal of management 22 (1997) 2, pp. 139-174
Persistent link: https://www.econbiz.de/10001256332
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Market volatility prediction and the efficiency of the S&P 100 index option market
Harvey, Campbell R. - In: Journal of financial economics 31 (1992) 1, pp. 43-73
Persistent link: https://www.econbiz.de/10001133538
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Dividends and S&P 100 index option valuation
Harvey, Campbell R. - In: The journal of futures markets 12 (1992) 2, pp. 123-137
Persistent link: https://www.econbiz.de/10001124225
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The dynamics of stock index and stock index futures returns
Stoll, Hans R. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 4, pp. 441-468
Persistent link: https://www.econbiz.de/10001098664
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Predicting stock market volatility : a new measure
Fleming, Jeff - In: The journal of futures markets 15 (1995) 3, pp. 265-302
Persistent link: https://www.econbiz.de/10001180182
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S & P 100 index option volatility
Harvey, Campbell R. - In: The journal of finance : the journal of the American … 46 (1991) 4, pp. 1551-1561
Persistent link: https://www.econbiz.de/10001112551
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Trading costs and the relative rates of price discovery in stock, futures, and option markets
Fleming, Jeff - In: The journal of futures markets 16 (1996) 4, pp. 353-387
Persistent link: https://www.econbiz.de/10001198895
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Tail wags dog : intraday price discovery in VIX markets
Bollen, Nicolas P. B.; O'Neill, Michael J.; Whaley, … - In: The journal of futures markets 37 (2017) 5, pp. 431-451
Persistent link: https://www.econbiz.de/10011950704
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Do expirations of Hang Seug Index derivatives affect stock market volatility?
Bollen, Nicolas P. B.; Whaley, Robert E. - In: Pacific-Basin finance journal 7 (1999) 5, pp. 453-470
Persistent link: https://www.econbiz.de/10001450512