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Volatility indices and their derivatives
Süss, Stephan - 2009
Persistent link: https://www.econbiz.de/10003889154
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A time series test of calendar seasonalities in the S & P 500 index since the introduction of index derivative securities
Cyr, Don J. - In: The journal of futures markets 14 (1994) 5, pp. 511-529
Persistent link: https://www.econbiz.de/10001169818
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A study of the cointegrated relationship between Australian All Ord. index and share index futures using the Granger causality method
Parasuraman, Aloysius; Evans, John P. - 2001
Persistent link: https://www.econbiz.de/10001585344
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Structural models: intra- inter-day volatility transmission and spillover persistence of the HSI, HSIF and S&P500 futures
Gannon, Gerard L. - In: International review of financial analysis 7 (1998) 1, pp. 19-36
Persistent link: https://www.econbiz.de/10001252958
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Forecasting stock index price using the CEEMDAN-LSTM model
Lin, Yu; Yan, Yan; Xu, Jiali; Liao, Ying; Ma, Feng - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012822188
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A hybrid approach of wavelet transform, ARIMA and LSTM model for the share price index futures forecasting
Zhang, Junting; Liu, Haifei; Bai, Wei; Li, Xiaojing - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10014445634
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A no arbitrage fractional cointegration analysis of the range based volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863181
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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
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A threshold error-correction model for intraday futures and index returns
Martens, Martin - In: Journal of applied econometrics 13 (1998) 3, pp. 245-263
Persistent link: https://www.econbiz.de/10001244202
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Discrete wavelet transform-based prediction of stock index : a study on national stock exchange fifty index
Jothimani, Dhanya; Shankar, Ravi; Yadav, Surendra S. - In: Journal of financial management and analysis : … 28 (2015) 2, pp. 35-49
Persistent link: https://www.econbiz.de/10011535334