论文信息 - Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures markets - 字舞流文

Return and volatility dynamics in the FT‐SE 100 stock index and stock index futures markets

Abhay Abhyankar | Abhay Abhyankar

[1] Hans R. Stoll,et al. The Dynamics of Stock Index and Stock Index Futures Returns , 1990, Journal of Financial and Quantitative Analysis.

[2] J. Anthony. The Interrelation of Stock and Options Market Trading-Volume Data , 1988 .

[3] Kalok Chan,et al. Intraday Volatility in the Stock Index and Stock Index Futures Markets , 1991 .

[4] Kalok Chan,et al. A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market , 1992 .

[5] George Sofianos. Index Arbitrage Profitability , 1993 .

[6] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .

[7] R. Carroll,et al. Variance Function Estimation , 1987 .

[8] Robert E. Whaley,et al. Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets , 1990 .

[9] T. Schwarz,et al. Dynamic efficiency and price leadership in stock index cash and futures markets , 1991 .

[10] Avanidhar Subrahmanyam,et al. A Theory of Trading in Stock Index Futures , 1991 .