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isPartOf:"The journal of futures markets"
type:"article"
~subject:"Interest rate derivative"
~subject:"Kointegration"
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Interest rate derivative
Kointegration
Großbritannien
91
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29
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Lekkos, Ilias
2
Milas, Costas
2
Cifarelli, Giulio
1
Haigh, Michael S.
1
Hill, Joanne M.
1
Kavussanos, Manolis G.
1
McMillan, David G.
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Monoyios, Michael
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Nomikos, Nikos K.
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Rossi, Eduardo
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Santucci de Magistris, Paolo
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1
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1
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The journal of futures markets
Applied economics
22
Economic modelling
13
Economics letters
10
Journal of international financial markets, institutions & money
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Applied financial economics
7
International review of economics & finance : IREF
6
The Manchester School
6
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5
Journal of econometrics
5
Journal of economic studies
5
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5
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Scottish journal of political economy : the journal of the Scottish Economic Society
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Applied economics letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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International journal of forecasting
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Macroeconomic dynamics
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Quarterly bulletin / Bank of England
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International advances in economic research : IAER ; an official publication of the International Atlantic Economic Society
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ECONIS (ZBW)
11
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1
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:
2
In search of the convexity adjustment : evidence from the sterling futures and IMM FRA markets
Poskitt, Russell
- In:
The journal of futures markets
28
(
2008
)
7
,
pp. 617-633
Persistent link: https://www.econbiz.de/10003715112
Saved in:
3
Nonlinear dynamics and competing behavioral interpretations : evidence from intra-day FTSE-100 index and futures data
McMillan, David G.
;
Speight, Alan E. H.
- In:
The journal of futures markets
26
(
2006
)
4
,
pp. 343-368
Persistent link: https://www.econbiz.de/10003304077
Saved in:
4
Common risk factors in the U.S. and UK interest rate swap markets : evidence from a nonlinear vector autoregression approach
Lekkos, Ilias
;
Milas, Costas
- In:
The journal of futures markets
24
(
2004
)
3
,
pp. 221-250
Persistent link: https://www.econbiz.de/10001968617
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
Identifying the factors that affect interest-rate swap spreads : some evidence from the United States and the United Kingdom
Lekkos, Ilias
;
Milas, Costas
- In:
The journal of futures markets
21
(
2001
)
8
,
pp. 737-768
Persistent link: https://www.econbiz.de/10001591750
Saved in:
7
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:
8
The forward pricing function of the shipping freight futures market
Kavussanos, Manolis G.
;
Nomikos, Nikos K.
- In:
The journal of futures markets
19
(
1999
)
3
,
pp. 353-376
Persistent link: https://www.econbiz.de/10001378063
Saved in:
9
The exchange rate crisis of September 1992 and the pricing of Italian financial futures
Cifarelli, Giulio
- In:
The journal of futures markets
18
(
1998
)
7
,
pp. 827-849
Persistent link: https://www.econbiz.de/10001249186
Saved in:
10
International linkages in Euromark futures markets : information transmission and market integration
Tse, Yiuman
- In:
The journal of futures markets
18
(
1998
)
2
,
pp. 129-149
Persistent link: https://www.econbiz.de/10001239199
Saved in:
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