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Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets

Abhyankar, Abhay - In: The journal of futures markets 15 (1995) 4, pp. 457-488

Persistent link: https://www.econbiz.de/10001185355

A comparative GARCH analysis of macroeconomic variables and returns on modelling the Kurtosis of FTSE 100 implied volatility index

Alsheikhmubarak, Abdulilah Ibrahim; Giouvris, Evangelos - In: Multinational finance journal 22 (2018) 3/4, pp. 119-172

Persistent link: https://www.econbiz.de/10012547707

Information transmission between China's IH and SGX FTSE A50 stock index futures markets : the role of trading restrictions

Wen, Tianxiang; Li, Ping; An, Yunbi - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 6, pp. 1639-1650

Persistent link: https://www.econbiz.de/10013190176

Stochastic dominance relationships between stock and stock index futures markets : international evidence

Qiao, Zhuo; Wong, Wing Keung; Fung, Joseph K. W. - In: Economic modelling 33 (2013), pp. 552-559

Persistent link: https://www.econbiz.de/10010193326

Intra- and inter-regional return and volatility spillovers across emerging and developed markets : evidence from stock indices and stock index futures

Yarovaya, Larisa; Brzeszczyński, Janusz; Lau, Chi Keung - In: International review of financial analysis 43 (2016), pp. 96-114

Persistent link: https://www.econbiz.de/10011623719

Stock market price indices modelling by a small scale Bayesian VAR : the case of British FTSE and German DAX index

Bikár, Miloš; Hodula, Martin - In: Ekonomický časopis : časopis pre ekonomickú … 64 (2016) 8, pp. 737-750

Persistent link: https://www.econbiz.de/10011582851

Co-movements and contagion between international stock index futures markets

Albulescu, Claudiu Tiberiu; Goyeau, Daniel; Tiwari, … - In: Empirical economics : a journal of the Institute for … 52 (2017) 4, pp. 1529-1568

Persistent link: https://www.econbiz.de/10011945853

Volatility spillover between the FTSE/JSE top 40 index and index futures : a BEKK-GARCH and DCC-GARCH approach

McCullough, Kerry; Murray, Mike; Strydom, Barry - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 42 (2018) 1, pp. 63-86

Persistent link: https://www.econbiz.de/10011919019

Gaming the FTSE 100 index

Danbolt, Jo; Hirst, Ian R. C.; Jones, Edward - In: The British accounting review : the journal of the … 50 (2018) 4, pp. 364-378

Persistent link: https://www.econbiz.de/10011881274

Performance Persistence and Implied Volatility Smile. Evidence from the S&P 500 Stock Index Options

Guirguis, Michel - 2023

This article examines performance persistence of the S&P 500 stock index options from the period 2010 to 2022. Performance persistence in the investment literature was a major area of investigation for academics, investors and practitioners for more than 3 decades. This is the first study that...

Persistent link: https://www.econbiz.de/10014256898

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