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Volatility and skewness spillover between stock index and stock index futures markets during a crash period : new evidence from China
Hou, Yang; Li, Steven - In: International review of economics & finance : IREF 66 (2020), pp. 166-188
Persistent link: https://www.econbiz.de/10012390715
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Lead-lag relationship between spot and futures stock indexes : intraday data and regime-switching models
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: International review of economics & finance : IREF 68 (2020), pp. 269-280
Persistent link: https://www.econbiz.de/10012486492
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The effect of short-sale restrictions on the information transmission of extended index futures trading
Wang, Janchung; Yeh, Shih-kuo; Wang, Bo-Ting - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012654869
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Volatility transmission between Dow Jones Stock Index and emerging bond index
Saadaoui, Amir; Boujelbene, Younes - In: Acta Universitatis Danubius / Oeconomica 12 (2016) 2, pp. 194-207
Persistent link: https://www.econbiz.de/10011633515
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International linkages of emerging market index futures, under the closure of underlying spot market : evidence from Indian Nifty futures
Sundararajan, Sivakumar; Balasubramanian, Senthil Arasu - In: Managerial finance 49 (2023) 3, pp. 577-593
Persistent link: https://www.econbiz.de/10014227233
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A comparison between parametric and nonparametric volatility forecasting of stock index futures in China
Jiang, Rui; Wen, Conghua - In: Emerging markets, finance and trade : EMFT 58 (2022) 9, pp. 2522-2537
Persistent link: https://www.econbiz.de/10013354977
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Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach
Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905
Persistent link: https://www.econbiz.de/10011459137
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Does fear (VIX Index) incite volatility in food prices?
Çınar, Gökhan; Uzmay, Ayse - In: International journal of food and agricultural … 5 (2017) 2, pp. 69-78
Persistent link: https://www.econbiz.de/10011886100
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Pricing a bivariate option with copulas
Bucio-Pacheco, Christian; López Herrera, Francisco; … - In: International journal of bonds and derivatives 4 (2018) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10012253407
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GARCH option pricing and implied FX volatility indices
Venter, Pierre J.; Maré, E. - In: Journal for studies in economics and econometrics : SEE 45 (2021) 1, pp. 42-52
Persistent link: https://www.econbiz.de/10013173960