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Measuring the impact of information timeless on the predictability of stock index and stock index futures returns : an application of vector models
Östermark, Ralf; Hernesniemi, Hannu - 1992
Persistent link: https://www.econbiz.de/10000845939
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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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The price response to Nikkei 225 stocks index adjustments
Tu, Chia-jung - In: The international journal of business and finance … 6 (2012) 4, pp. 59-71
Persistent link: https://www.econbiz.de/10009633848
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The relative pricing of European dividend futures and their predictive abilities for index returns
Stotz, Olaf - In: The European journal of finance 22 (2016) 13/15, pp. 1484-1506
Persistent link: https://www.econbiz.de/10011715480
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Forecasting stock index futures returns with mixed-frequency sentiment
Gao, Bin; Yang, Chunpeng - In: International review of economics & finance : IREF 49 (2017), pp. 69-83
Persistent link: https://www.econbiz.de/10011748364
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Forecasting the Forecaster : Relationship between VIX Futures and Spot VIX Indexes
Narayanasamy, Arun; Panta, Humnath; Agarwal, Rohit - 2023
This study examines the price discovery role of VIX futures in determining the levels of various spot VIX series. We analyze both the short-term linkage using the bivariate Granger causality model as well as the long-term linkage using the Johansen cointegration model with a vector error...
Persistent link: https://www.econbiz.de/10014355125
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Financial market spillovers around the globe
Dimpfl, Thomas; Jung, Robert - 2011
follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more … of forecasting precision when applying our modelling strategy are illustrated by a forecast evaluation. …
Persistent link: https://www.econbiz.de/10009161582
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Dividend forecast biases in index option valuation
Chance, Don M.; Kumar, Raman; Rich, Don R. - In: Review of derivatives research 4 (2000) 3, pp. 285-303
Persistent link: https://www.econbiz.de/10001596722
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Measuring and forecasting S&P 500 index-futures volatility using high-frequency data
Martens, Martin - In: The journal of futures markets 22 (2002) 6, pp. 497-518
Persistent link: https://www.econbiz.de/10001696643
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Dynamic index options trading strategies : direct forecasting versus option pricing
Chen, An-sing; Yueh-Chung, Chu - In: Advances in Pacific Basin business, economics, and finance 4 (2000), pp. 119-134
Persistent link: https://www.econbiz.de/10001543045