Similar Search Results

Intraday and interday basis dynamics : evidence from the FTSE 100 index futures market

Garrett, Ian (contributor); Taylor, Nicholas (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 5 (2001) 2, pp. 133-152

Persistent link: https://www.econbiz.de/10001769747

A new econometric model of index arbitrage

Taylor, Nicholas - In: European financial management : the journal of the … 13 (2007) 1, pp. 159-183

Persistent link: https://www.econbiz.de/10003550387

An alternative approach to investigating lead-lag relationships between stock and stock index futures markets

Brooks, Chris; Garrett, Ian; Hinich, Melvin J. - In: Applied financial economics 9 (1999) 6, pp. 605-613

Persistent link: https://www.econbiz.de/10001525291

Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?

Brooks, Chris; Garrett, Ian - In: Applied financial economics 12 (2002) 1, pp. 25-31

Persistent link: https://www.econbiz.de/10001646093

Early Exercise, Implied Volatility Spread and Future Stock Return : Jumps Bind Them All

Garrett, Ian; Gazi, Adnan - 2023

We find that early exercise premiums of exchange-traded single-stock American puts, in excess of the GBM-world premium, can negatively predict future stock returns. Simulation evidence suggests that stock price jumps can positively drive the excess premium, while jumps can also negatively induce...

Persistent link: https://www.econbiz.de/10014350618