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TRANSACTIONS COSTS, INDEX ARBITRAGE AND NON‐LINEAR DYNAMICS BETWEEN FTSE100 SPOT AND FUTURES: A THRESHOLD COINTEGRATION ANALYSIS

Tao, Juan; Green, Christopher J. - In: International Journal of Finance & Economics 18 (2013) 2, pp. 175-187

Persistent link: https://www.econbiz.de/10011005760

Asymmetries, causality and correlation between FTSE100 spot and futures : a DCC-TGARCH-M analysis

Tao, Juan; Green, Christopher J. - In: International review of financial analysis 24 (2012), pp. 26-37

Persistent link: https://www.econbiz.de/10009688185

Transactions costs, index arbitrage and non-linear dynamics between FTSE100 spot and futures : a treshold cointegration analysis

Tao, Juan; Green, Christopher J. - In: International journal of finance & economics : IJFE 18 (2013) 2, pp. 175-187

Persistent link: https://www.econbiz.de/10010355992

TRANSACTIONS COSTS, INDEX ARBITRAGE AND NON‐LINEAR DYNAMICS BETWEEN FTSE100 SPOT AND FUTURES: A THRESHOLD COINTEGRATION ANALYSIS

Tao, Juan; Green, Christopher J. - In: International journal of finance & economics : IJFE 18 (2013) 2, pp. 175-187

Persistent link: https://www.econbiz.de/10010105358

Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis

Tao, Juan; Green, Christopher J. - In: International review of financial analysis 24 (2012), pp. 26-37

Persistent link: https://www.econbiz.de/10010046478

A re-examination of the relationship between FTSE100 index and futures prices

Tao, Juan - 2008

This thesis examines the validity of the cost of carry model for pricing FTSE100 futures contracts and the relationship between FTSE100 spot and futures markets during twosub-periods characterised by different market trading systems employed by the LSEand LIFFE. The empirical work is carried out...

Persistent link: https://www.econbiz.de/10009461235

Impact of marketing channel caused by relationship marketing of online social network

Wang, Min; Bian, Yijie; Deng, Jiangao; Sheng, Hong; … - In: International journal of services technology and management 22 (2016) 6, pp. 348-364

Persistent link: https://www.econbiz.de/10011665170

How do risk attitudes of clearing firms matter for managing default exposure in futures markets?

Cheng, Jie; Hong, Yi; Tao, Juan - In: The European journal of finance 22 (2016) 10/12, pp. 909-940

Persistent link: https://www.econbiz.de/10011715223

The performance of China's stock market price limits : noise mitigator or noise maker?

Tao, Juan; Wu, Yingying; Jingyi, Zhang - In: China finance review international 7 (2017) 1, pp. 85-97

Persistent link: https://www.econbiz.de/10011797749

Banks as interest rate managers

Green, Christopher J. - In: Journal of financial services research : JFSR 14 (1998) 3, pp. 189-208

Persistent link: https://www.econbiz.de/10001410369

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