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Index arbitrage with heterogeneous investors : a smooth transition error correction analysis
Tse, Yiuman - In: Journal of banking & finance 25 (2001) 10, pp. 1829-1855
Persistent link: https://www.econbiz.de/10001608847
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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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The dual listing of stock index futures : arbitrage, spread arbitrage, and currency risk
Board, John L. G. - In: The journal of futures markets 16 (1996) 1, pp. 29-54
Persistent link: https://www.econbiz.de/10001193438
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Die Qualität verschiedener Hedgingtheorien im Kontext der Aktienindex-Futuresmärkte
Albrecht, Rainer - 1994
Persistent link: https://www.econbiz.de/10000890678
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Valuation of stock index futures and their relation to the underlying index : theory and evidence
Junkus, Joan C. - 1984
Persistent link: https://www.econbiz.de/10000832569
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Options on stock indexes : a comparison of the black-scholes option pricing formula and an autogregressive model
Halpern, Marc - 1985
Persistent link: https://www.econbiz.de/10000834665
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The time series properties of implied volatility of S&P100 index options
Diz, Fernando; Finucane, Thomas J. - 1991
Persistent link: https://www.econbiz.de/10000839718
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Information in the cash market and stock index future market
Chan, Kalok - 1990
Persistent link: https://www.econbiz.de/10000839818
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Post-'87 crash fears in S&P 500 futures options
Bates, David S. - 1997
Persistent link: https://www.econbiz.de/10000619727