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subject:"Estimation"
isPartOf:"The journal of futures markets"
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Estimation
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Sarno, Lucio
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The journal of futures markets
Discussion paper series / IZA
226
Applied economics
114
Discussion paper / Centre for Economic Policy Research
105
IZA Discussion Paper
85
Working paper / National Bureau of Economic Research, Inc.
74
NBER working paper series
69
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40
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Working paper
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1
Industry variance risk premium, cross-industry correlation, and expected returns
Zhu, Yabei
;
Luo, Xingguo
;
Xu, Qi
- In:
The journal of futures markets
43
(
2023
)
1
,
pp. 3-32
Persistent link: https://www.econbiz.de/10013465888
Saved in:
2
A no-arbitrage fractional cointegration model for futures and spot daily ranges
Rossi, Eduardo
;
Santucci de Magistris, Paolo
- In:
The journal of futures markets
33
(
2013
)
1
,
pp. 77-102
Persistent link: https://www.econbiz.de/10009699456
Saved in:
3
Intradaily periodicity and volatility spillovers between international stock index futures markets
Wu, Chunchi
;
Li, Jinliang
;
Zhang, Wei
- In:
The journal of futures markets
25
(
2005
)
6
,
pp. 553-585
Persistent link: https://www.econbiz.de/10002846393
Saved in:
4
Robust estimation of the optimal hedge ratio
Harris, Richard D. F.
;
Shen, Jian
- In:
The journal of futures markets
23
(
2002
)
8
,
pp. 799-816
Persistent link: https://www.econbiz.de/10001780635
Saved in:
5
Mean reversion in stock index futures markets: a nonlinear analysis
Monoyios, Michael
;
Sarno, Lucio
- In:
The journal of futures markets
22
(
2002
)
4
,
pp. 285-314
Persistent link: https://www.econbiz.de/10001678261
Saved in:
6
Pricing options using implied trees: evidence from FTSE-100 options
Lim, Kian-Guan
;
Zhi, Da
- In:
The journal of futures markets
22
(
2002
)
7
,
pp. 601-626
Persistent link: https://www.econbiz.de/10001678534
Saved in:
7
Stock index futures markets : stochastic volatility models and smiles
Tompkins, Robert G.
- In:
The journal of futures markets
21
(
2001
)
1
,
pp. 43-78
Persistent link: https://www.econbiz.de/10001537233
Saved in:
8
Mean reversion and basis dynamics
Theobald, Michael
;
Yallup, Peter
- In:
The journal of futures markets
21
(
2001
)
9
,
pp. 797-818
Persistent link: https://www.econbiz.de/10001595304
Saved in:
9
The cost of carry model and regime shifts in stock index futures markets : an empirical investigation
Sarno, Lucio
;
Valente, Giorgio
- In:
The journal of futures markets
20
(
2000
)
7
,
pp. 603-624
Persistent link: https://www.econbiz.de/10001523738
Saved in:
10
Futures hedging when the structure of the underlying asset changes : the case of the BIFFEX contract
Kavussanos, Manolis G.
;
Nomikos, Nikos K.
- In:
The journal of futures markets
20
(
2000
)
8
,
pp. 775-801
Persistent link: https://www.econbiz.de/10001523757
Saved in:
11
Cointegration, unbiased expectations, and forecasting in the BIFFEX freight futures market
Haigh, Michael S.
- In:
The journal of futures markets
20
(
2000
)
6
,
pp. 545-571
Persistent link: https://www.econbiz.de/10001509975
Saved in:
12
VAR without correlations for portfolios of derivative securities
Barone-Adesi, Giovanni
;
Giannopoulos, Kostas
;
Vosper, Les
- In:
The journal of futures markets
19
(
1999
)
5
,
pp. 583-602
Persistent link: https://www.econbiz.de/10001410433
Saved in:
13
The bid-ask spread in stock index options : an ordered probit analysis
Ap Gwilym, Owain
- In:
The journal of futures markets
18
(
1998
)
4
,
pp. 467-485
Persistent link: https://www.econbiz.de/10001242637
Saved in:
14
A bivariate generalized autoregressive conditonal heteroscedasticity-in-mean study of the relationship between return variability and trading volume in international futures market...
Jacobs, Michael <Jr.>
- In:
The journal of futures markets
18
(
1998
)
4
,
pp. 379-397
Persistent link: https://www.econbiz.de/10001242641
Saved in:
15
A test of the cost-of-carry relationship using the London Metal Exchange lead contract
Heaney, Richard A.
- In:
The journal of futures markets
18
(
1998
)
2
,
pp. 177-200
Persistent link: https://www.econbiz.de/10001239193
Saved in:
16
Hedging ratios and cash futures market linkages
Theobald, Michael
- In:
The journal of futures markets
17
(
1997
)
1
,
pp. 101-115
Persistent link: https://www.econbiz.de/10001216340
Saved in:
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