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Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities

Zhou, Yinggang - In: Journal of banking & finance 38 (2014), pp. 216-228

Persistent link: https://www.econbiz.de/10010340777

Volatility and stock price indexes

Clements, Kenneth W.; Izan, H. Y.; Lan, Yihui - In: Applied economics 45 (2013) 22/24, pp. 3255-3262

Persistent link: https://www.econbiz.de/10010345452

Discrete wavelet transform-based prediction of stock index : a study on national stock exchange fifty index

Jothimani, Dhanya; Shankar, Ravi; Yadav, Surendra S. - In: Journal of financial management and analysis : … 28 (2015) 2, pp. 35-49

Persistent link: https://www.econbiz.de/10011535334

Intraday volatility and volume in China's stock index and index futures markets

Nishimura, Yusaku; Sun, Bianxia - In: Asia-Pacific journal of financial studies 44 (2015) 6, pp. 932-955

Persistent link: https://www.econbiz.de/10011471124

Implied volatility smirk and future stock returns : evidence from the German market

Mo, Di; Todorova, Neda; Gupta, Rakesh - In: Managerial finance 41 (2015) 12, pp. 1357-1379

Persistent link: https://www.econbiz.de/10011504242

Calendar anomalies in cash and stock index futures : international evidence

Floros, Christos; Salvador, Enrique - In: Economic modelling 37 (2014), pp. 216-223

Persistent link: https://www.econbiz.de/10010417707

Hedging with future : multivariante dynamic conditional correlation GARCH

Kolokolov, Aleksey - In: Market risk and financial markets modeling, (pp. 63-72). 2012

Persistent link: https://www.econbiz.de/10009514454

Tick sizes and relative rates of price discovery in stock, futures, and options markets : evidence from the Taiwan Stock Exchange

Chen, Yu-Lun; Gau, Yin-feng - In: The journal of futures markets 29 (2009) 1, pp. 74-93

Persistent link: https://www.econbiz.de/10003826623

A partially linear approach to modelling the dynamics of spot and futures prices

Gaulke, Jürgen (contributor); Theissen, Erik (contributor) - 2008

In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX...

Persistent link: https://www.econbiz.de/10003750067

Common deviation and regime-dependent dynamics in the index derivatives markets

Lee, Jaeram; Kang, Jangkoo; Ryu, Doojin - In: Pacific-Basin finance journal 33 (2015), pp. 1-22

Persistent link: https://www.econbiz.de/10011474037