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Intraday leads and lags with index-futures arbitrage
Martens, Martin; Kofman, Paul - 1995
Persistent link: https://www.econbiz.de/10000909095
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Intraday leads and lags with index-futures arbitrage
Martens, Martin; Kofman, Paul - 1995
Persistent link: https://www.econbiz.de/10000912175
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Bayesian arbitrage threshold analysis
Forbes, Catherine Scipione - 1997
Persistent link: https://www.econbiz.de/10000978712
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A threshold error-correction model for intraday futures and index returns
Martens, Martin - In: Journal of applied econometrics 13 (1998) 3, pp. 245-263
Persistent link: https://www.econbiz.de/10001244202
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Bayesian arbitrage threshold analysis
Forbes, Catherine Scipione; Kalb, Guyonne; Kofman, Paul - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 3, pp. 364-372
Persistent link: https://www.econbiz.de/10001410721
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Structurally sound dynamic index futures hedging
Kofman, Paul; McGlenchy, Patrick - In: The journal of futures markets 25 (2005) 12, pp. 1173-1202
Persistent link: https://www.econbiz.de/10003244363