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Daily and intradaily tests of European put-call parity
Kamara, Avraham - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 4, pp. 519-539
Persistent link: https://www.econbiz.de/10001217189
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Measuring true stock index value in the presence of infrequent trading
Jokivuolle, Esa - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 3, pp. 455-464
Persistent link: https://www.econbiz.de/10001217159
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Direct tests of index arbitrage models
Neal, Robert S. - In: Journal of financial and quantitative analysis : JFQA 31 (1996) 4, pp. 541-562
Persistent link: https://www.econbiz.de/10001219189
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The dynamics of stock index and stock index futures returns
Stoll, Hans R. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 4, pp. 441-468
Persistent link: https://www.econbiz.de/10001098664
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Identifying the effect of stock indexing : impetus or impediment to arbitrage and price discovery?
Ahn, Byung Hyun; Patatoukas, Panos N. - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 5, pp. 2022-2062
Persistent link: https://www.econbiz.de/10013367056
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A methodology for assessing model risk and its application to the implied volatility function model
Hull, John; Suo, Wulin - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 2, pp. 297-318
Persistent link: https://www.econbiz.de/10001690149
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Stock market uncertainty and the stock-bond return relation
Connolly, Robert A.; Stivers, Christopher T.; Sun, Licheng - In: Journal of financial and quantitative analysis : JFQA 40 (2005) 1, pp. 161-194
Persistent link: https://www.econbiz.de/10002699485
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The pricing of volatility and jump risks in the cross-section of index option returns
Hu, Guanglian; Liu, Yuguo - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 6, pp. 2385-2411
Persistent link: https://www.econbiz.de/10013367097
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The creation and resolution of market uncertainty : the impact of information releases on implied volatility
Ederington, Louis H. - In: Journal of financial and quantitative analysis : JFQA 31 (1996) 4, pp. 513-539
Persistent link: https://www.econbiz.de/10001219191
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The only constant is change : nonconstant volatility and implied volatility spreads
Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 5, pp. 2190-2227
Persistent link: https://www.econbiz.de/10014365179