Narrow search
Showing 1 - 10 of 15,771
Cover Image
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
Cover Image
The role of the temporary component in spot prices in the revision of expected future spot prices : evidence from index futures quotes
Kang, Hyung Cheol; Lee, Dong Wook; Lee, Eun Jung; Park, … - In: The journal of futures markets 32 (2012) 3, pp. 230-251
Persistent link: https://www.econbiz.de/10010218771
Cover Image
Cointegration and price discovery in US corn cash and futures markets
Xu, Xiaojie - In: Empirical economics : a journal of the Institute for … 55 (2018) 4, pp. 1889-1923
Persistent link: https://www.econbiz.de/10011950344
Cover Image
Economic integration in Asia : quo vadis Malaysia?
Hooi Hooi Lean; Ghosh, Baidyanath - In: International economic journal 24 (2010) 2, pp. 237-248
Persistent link: https://www.econbiz.de/10008663940
Cover Image
Who has more influence on Asian stock markets around the subprime mortgage crisis : the US or China?
Nieh, Chien-chung; Yang, Chao-hsiang; Kao, Yu-sheng - In: Applied economics letters 19 (2012) 4/6, pp. 329-335
Persistent link: https://www.econbiz.de/10009630208
Cover Image
Dynamic linkages betweens US and Indian equity markets : an empirical study
Rani, Asha; Kanojia, Sunaina - In: Business analyst : a refereed journal of Shri Ram … 40 (2019) 2, pp. 19-35
Persistent link: https://www.econbiz.de/10013177239
Cover Image
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
Cover Image
Cojumpinge Evidence from the US Treasury bond and futures markets
Dungey, Mardi H.; Hvozdyk, Lyudmyla - 2010
Persistent link: https://www.econbiz.de/10008668687
Cover Image
Cojumping : evidence from the US Treasury bond and futures markets
Dungey, Mardi H.; Hvozdyk, Lyudmyla - 2010
Persistent link: https://www.econbiz.de/10008698082
Cover Image
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