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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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The impact of stock index arbitrage on equity markets - theory and evidence
Bhatt, Swati - 1987
Persistent link: https://www.econbiz.de/10000082786
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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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Stock index arbitrage and stock price volatility in the Athens derivatives exchange
Michalopoulos, M.; Zopounidis, Constantin; Stavroulakis, K. - In: New trends in banking management : with 42 tables, (pp. 233-250). 2002
Persistent link: https://www.econbiz.de/10001708787
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A time series approach to testing for market linkage : unit root and cointegration tests
Wang, George H. K. - In: The journal of futures markets 14 (1994) 4, pp. 457-474
Persistent link: https://www.econbiz.de/10001169791