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~isPartOf:"Journal of financial economics"
~isPartOf:"The journal of futures markets"
~subject:"ARCH model"
~subject:"Liquidity"
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Search: subject_exact:"Indexderivat"
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ARCH model
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Journal of financial economics
The journal of futures markets
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Intraday arbitrage between ETFs and their underlying portfolios
Box, Travis
;
Davis, Ryan
;
Evans, Richard
;
Lynch, Andrew
- In:
Journal of financial economics
141
(
2021
)
3
,
pp. 1078-1095
Persistent link: https://www.econbiz.de/10012873154
Saved in:
2
Liquidity risk and exchange-traded fund returns, variances, and tracking errors
Bae, Kyounghun
;
Kim, Daejin
- In:
Journal of financial economics
138
(
2020
)
1
,
pp. 222-253
Persistent link: https://www.econbiz.de/10012631970
Saved in:
3
The impact of innovation : evidence from corporate bond exchange-traded funds (ETFs)
Dannhauser, Caitlin D.
- In:
Journal of financial economics
125
(
2017
)
3
,
pp. 537-560
Persistent link: https://www.econbiz.de/10011751861
Saved in:
4
Spot market volatility and futures trading : the pitfalls of using a dummy variable approach
Bohl, Martin T.
;
Diesteldorf, Jeanne
;
Salm, Christian
; …
- In:
The journal of futures markets
36
(
2016
)
1
,
pp. 30-45
Persistent link: https://www.econbiz.de/10011567524
Saved in:
5
Pricing S&P 500 index 0ptions : a conditional semi-nonparametric approach
Guidolin, Massimo
;
Hansen, Erwin
- In:
The journal of futures markets
36
(
2016
)
3
,
pp. 217-239
Persistent link: https://www.econbiz.de/10011568080
Saved in:
6
Liquidity, resiliency and market quality around predictable trades : theory and evidence
Bessembinder, Hendrik
;
Carrion, Allen
;
Tuttle, Laura
; …
- In:
Journal of financial economics
121
(
2016
)
1
,
pp. 142-166
Persistent link: https://www.econbiz.de/10011590681
Saved in:
7
Measuring hedging effectiveness of index futures contracts : do dynamic models outperform static models? ; a regime-switching approach
Salvador, Enrique
;
Aragó, Vicent
- In:
The journal of futures markets
34
(
2014
)
4
,
pp. 374-398
Persistent link: https://www.econbiz.de/10010355419
Saved in:
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