Dynamic Dependence Between Liquidity and the S&P 500 Index Futures‐Cash Basis
暂无分享,去创建一个
Li Yang | Donald Lien | Chunyang Zhou | D. Lien | Li Yang | Gerui Lim | Chunyang Zhou | Gerui Lim
[1] Ľuboš Pástor,et al. Liquidity Risk and Expected Stock Returns , 2003, Journal of Political Economy.
[2] Charles M. C. Lee,et al. Inferring Trade Direction from Intraday Data , 1991 .
[3] B. Hansen. Autoregressive Conditional Density Estimation , 1994 .
[4] H. Bessembinder. Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets , 1992 .
[5] Merton H. Miller,et al. Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion? , 1994 .
[6] Andrew J. Patton. (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation , 2002 .
[7] Andrew J. Patton. Modelling Asymmetric Exchange Rate Dependence , 2006 .
[8] A. Mackinlay,et al. Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices , 1988 .
[9] Richard Roll,et al. Orderimbalance, Liquidity and Market Returns , 2001 .
[10] Eric Jondeau,et al. Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements , 2003 .
[11] A. Azzalini,et al. Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t‐distribution , 2003, 0911.2342.
[12] T. Bollerslev,et al. A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN , 1987 .
[13] F. D. Roon,et al. Hedging Pressure Effects in Futures Markets , 2000 .
[14] Richard Roll,et al. Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis , 2007 .
[15] Laurent Deville,et al. Liquidity and arbitrage in options markets: A survival analysis approach , 2007 .
[16] M. C. Jones,et al. A skew extension of the t‐distribution, with applications , 2003 .
[17] J. Duan,et al. Volatility and maturity effects in the Nikkei index futures , 1999 .
[18] Y. Amihud,et al. Asset pricing and the bid-ask spread , 1986 .