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Restricted VAR hedging with the presence of multiple breaks
Chiu, Chien-Liang; Chiou, Jer-shiou; Wu, Pei-Shan - In: Zagreb international review of economics & business 10 (2007) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10003470376
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Cojumpinge Evidence from the US Treasury bond and futures markets
Dungey, Mardi H.; Hvozdyk, Lyudmyla - 2010
Persistent link: https://www.econbiz.de/10008668687
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Cojumping : evidence from the US Treasury bond and futures markets
Dungey, Mardi H.; Hvozdyk, Lyudmyla - 2010
Persistent link: https://www.econbiz.de/10008698082
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The lead-lag relation between the S&P500 spot and futures markets : an intraday-data analysis using a threshold regression model
Tse, Yiu Kuen; Chan, Wai-Sum - In: The Japanese economic review : the journal of the … 61 (2010) 1, pp. 133-144
Persistent link: https://www.econbiz.de/10003980315
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The predictive content of commodity futures
Chinn, Menzie David; Coibion, Olivier - 2010
Persistent link: https://www.econbiz.de/10003952098
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The relationship between spot and forward prices in electricity markets
Pozzi, Carlo - In: The econometrics of energy systems, (pp. 186-206). 2007
Persistent link: https://www.econbiz.de/10003430748
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The predictive content of commodity futures
Chinn, Menzie David; Coibion, Olivier - 2010
Persistent link: https://www.econbiz.de/10008649925
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Price discovery in spot and futures markets : a reconsideration
Theissen, Erik - 2011 - This version: April 2011
We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage opportunities to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying...
Persistent link: https://www.econbiz.de/10009705494
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The predictive content of commodity futures
Chinn, Menzie David; Coibion, Olivier - In: The journal of futures markets 34 (2014) 7, pp. 607-636
Persistent link: https://www.econbiz.de/10010507944
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Cojumping : evidence from the US Treasury bond and futures markets
Dungey, Mardi H.; Hvozdyk, Lyudmyla - In: Journal of banking & finance 36 (2012) 5, pp. 1563-1575
Persistent link: https://www.econbiz.de/10009615791