A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100
暂无分享,去创建一个
[1] Abhay Abhyankar. Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market , 1998 .
[2] Charles M. S. Sutcliffe. Stock Index Futures: Theories and International Evidence , 1997 .
[3] Chris Brooks,et al. Linear and Non-linear (Non-)Forecastability of High-frequency Exchange Rates , 1997 .
[4] Yiu Kuen Tse,et al. Lead-lag relationship between spot index and futures price of the nikkei stock average , 1995 .
[5] Abhay Abhyankar,et al. Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures markets , 1995 .
[6] W. Enders. Applied Econometric Time Series , 1994 .
[7] S. Irwin,et al. Economic evaluation of commodity price forecasting models , 1993 .
[8] Mahmoud Wahab,et al. Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach , 1993 .
[9] A. Ghosh. Cointegration and Error Correction Models: Intertemporal Causality Between Index Spot and Future Prices , 1993 .
[10] Daniel Choi,et al. The causal relationship between stock index futures and cash index prices in Hong Kong , 1992 .
[11] Kalok Chan,et al. A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market , 1992 .
[12] Gordon Leitch,et al. Economic Forecast Evaluation: Profits versus the Conventional Error Measures , 1991 .
[13] Hans R. Stoll,et al. The Dynamics of Stock Index and Stock Index Futures Returns , 1990, Journal of Financial and Quantitative Analysis.
[14] S. Johansen. STATISTICAL ANALYSIS OF COINTEGRATION VECTORS , 1988 .
[15] A. Mackinlay,et al. Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices , 1988 .
[16] Paul D. Koch,et al. The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index , 1987 .
[17] C. Granger,et al. Co-integration and error correction: representation, estimation and testing , 1987 .
[18] W. Fuller,et al. LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME SERIES WITH A UNIT ROOT , 1981 .
[19] G. Schwarz. Estimating the Dimension of a Model , 1978 .
[20] Chris Chatfield,et al. Introduction to Statistical Time Series. , 1976 .