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Arbitrage and efficiency in the stock index futures and options marktes
Sternberg, Joel S., (1986)
Intraday leads and lags with index-futures arbitrage
Martens, Martin, (1995)
A threshold error-correction model for intraday futures and index returns
Martens, Martin, (1998)
Portfolio insurance and financial market equilibrium
Brennan, Michael J., (1989)
Time-invariant portfolio insurance strategies
Brennan, Michael J., (1988)
Optimal arbitrage strategies under basis variability