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Transactions costs, index arbitrage and non-linear dynamics between FTSE100 spot and futures : a treshold cointegration analysis
Tao, Juan; Green, Christopher J. - In: International journal of finance & economics : IJFE 18 (2013) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10010355992
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Pricing of options on an index containing stale prices
Jokivuolle, Esa - 1994
Persistent link: https://www.econbiz.de/10000887558
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Stock index futures : theories and international evidence
Sutcliffe, Charles M. S. - 1993 - 1. ed.
Persistent link: https://www.econbiz.de/10000858721
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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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Derivatives pricing and term structure modeling
Hinnerich, Mia - 2007
Persistent link: https://www.econbiz.de/10003649920
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Essays on asset allocation with derivatives and model estimation
Breuer, Beate - 2009
Persistent link: https://www.econbiz.de/10003823672
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Options, futures, and other derivatives
Hull, John - 1997 - 3. ed., internat. ed
Persistent link: https://www.econbiz.de/10008729855
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Position-limit design for the CSI 300 futures markets
Wei, Lijian; Zhang, Wei; Xiong, Xiong; Shi, Lei - 2014
Persistent link: https://www.econbiz.de/10011344802
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The effects of exchange-rate exposures on equity asset markets
Jumah, Adusei; Kunst, Robert M. - 2001
This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis...
Persistent link: https://www.econbiz.de/10009724429
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Average price futures contracts : pricing, characteristics, and implications
Yoo, Jin - In: Asia-Pacific journal of financial studies 44 (2015) 6, pp. 849-876
Persistent link: https://www.econbiz.de/10011471096