Similar Search Results

The impact of jumps and thin trading on realised hedge ratios

Dungey, Mardi H.; Henry, Ólan Thomas John; Hvozdyk, … - 2012

Persistent link: https://www.econbiz.de/10009671885

Cojumping : evidence from the US Treasury bond and futures markets

Dungey, Mardi H.; Hvozdyk, Lyudmyla - 2011

Persistent link: https://www.econbiz.de/10009384423

Efficiency of the IBEX spot-futures basis : the impact of the mini-futures

McMillan, David G.; Quiroga Garcia, Raquel - In: The journal of futures markets 28 (2008) 4, pp. 398-415

Persistent link: https://www.econbiz.de/10003699415

Information contents misjudged: digressive convergence to equilibrium in conintegrated prices

Tswei, Keshin; Lai, Jing-yi - In: Review of financial economics : RFE 18 (2009) 4, pp. 183-189

The spot price on the Taiwan stock index is richer in information than the futures price judged by the price discovery measures of Gonzalo and Granger [Gonzalo, J., & Granger, C.W.J. (1995). Estimation of common long-memory components in cointegrated systems. Journal of Business and Economic...

Persistent link: https://www.econbiz.de/10003921412