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  • Search: subject:"Futures mispricing"
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Subject
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ARCH model 1 ARCH-Modell 1 Aktienindex 1 Correlation 1 DCC-GARCH 1 Dynamic Conditional Correlations 1 Dynamic Connectedness Approach 1 EU countries 1 EU-Staaten 1 Index Futures Mispricing 1 Index futures 1 Index-Futures 1 Korrelation 1 Quantile Regression 1 Stock index 1 Volatility 1 Volatility Index 1 Volatilität 1 index arbitrage 1 market efficiency 1 stock index futures mispricing 1
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Free 2
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Arjin, TUSHAJ 1 Jayakumar, Manju 1 Pradhan, Rudra Prakash 1 Samarakoon, S. M. R. K. 1 Tripathy, Sasikanta 1 Valentina, SINAJ 1
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Studies in Business and Economics 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions
Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025
Persistent link: https://www.econbiz.de/10015371777
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A DECOMPOSITION OF STOCK INDEX FUTURES MISPRICING AND THE PRICE EFFECT OF INDEX ARBITRAGE
Arjin, TUSHAJ; Valentina, SINAJ - In: Studies in Business and Economics 7 (2012) 2, pp. 184-196
The importance of the arbitrage theories and the notion of efficient evaluation for the usual market index give a strong motivation for an empirical analysis of the relationship between the current prices and lost future prices. This article developed an empirical system that attempts to...
Persistent link: https://www.econbiz.de/10010587898
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