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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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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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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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Settlement, tax and non-synchronous effects in the basis of UK stock index futures
Theobald, Michael; Yallup, Peter - 1996
Persistent link: https://www.econbiz.de/10000598332
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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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Optimal arbitrage strategies on stock index futures under position limits
Dai, Min; Zhong, Yifei; Kwok, Yue-Kuen - In: The journal of futures markets 31 (2011) 4, pp. 394-406
Persistent link: https://www.econbiz.de/10008908353
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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