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Efficiency in index options markets and trading in stock baskets
Ackert, Lucy F.; Tian, Yisong Sam - In: Journal of banking & finance 25 (2001) 9, pp. 1607-1634
Persistent link: https://www.econbiz.de/10001603569
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Efficiency in index options markets and trading in stock baskets
Ackert, Lucy F.; Tian, Yisong Sam - 1999
Persistent link: https://www.econbiz.de/10001393315
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Predicting index returns with morphological filters
Kanto, Antti J. - 1995
Persistent link: https://www.econbiz.de/10000907558
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Predicting stock market volatility : a new measure
Fleming, Jeff - In: The journal of futures markets 15 (1995) 3, pp. 265-302
Persistent link: https://www.econbiz.de/10001180182
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The quality of market volatility forecasts implied by S&P 100 index option prices
Fleming, Jeff - In: Journal of empirical finance 5 (1998) 4, pp. 317-345
Persistent link: https://www.econbiz.de/10001375188
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Pricing kernel monotonicity and conditional information
Linn, Matthew; Shive, Sophie; Shumway, Tyler - In: The review of financial studies 31 (2018) 2, pp. 493-531
Persistent link: https://www.econbiz.de/10011925238
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A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong - In: Journal of econometrics 72 (1996) 1, pp. 33-48
Persistent link: https://www.econbiz.de/10001198033
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Measuring true stock index value in the presence of infrequent trading
Jokivuolle, Esa - 1995
Persistent link: https://www.econbiz.de/10000922924
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Simultaneously modelling conditional heteroskedasticity and scale change
Feng, Yuanhua - 2002
Persistent link: https://www.econbiz.de/10001686434
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Simultaneously modeling conditional heteroskedasticity and scale change
Feng, Yuanhua - In: Econometric theory 20 (2004) 3, pp. 563-596
Persistent link: https://www.econbiz.de/10002068275