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Unified tests of causality and cost of carry : the pricing of the French stock index futures contract

Green, Christopher J.; Joujon, Emmanuel - In: International journal of finance & economics : IJFE 5 (2000) 2, pp. 121-140

Persistent link: https://www.econbiz.de/10001519416

Testing for linear and non-linear causality in spot and future prices of national multi-commodity indices

Shah, Paresh - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 3, pp. 174-185

Persistent link: https://www.econbiz.de/10011543236

Is There Really Excess Comovement? Causal Evidence from FTSE 100 Index Turnover

von Drathen, Christian - 2014

Stock returns appear to comove in excess of common news about stock fundamentals. I examine comovement when stocks are added to or deleted from the FTSE 100 stock index, which are events without news about fundamantals. Using a natural experiment created by FTSE's index balancing rule, I find...

Persistent link: https://www.econbiz.de/10013054811

High-Frequency Causality in the VIX Index and Its Derivatives : Empirical Evidence

Farokhnia, Kia; Osterrieder, Joerg - 2023

In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major volatility-related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the role of linear causality in the VIX index and its...

Persistent link: https://www.econbiz.de/10014361986

Asymmetries, causality and correlation between FTSE100 spot and futures : a DCC-TGARCH-M analysis

Tao, Juan; Green, Christopher J. - In: International review of financial analysis 24 (2012), pp. 26-37

Persistent link: https://www.econbiz.de/10009688185

Can the introduction of stock index futures stabilize the volatility of the stock market? : evidence from the Chinese stock market

Liu, Shengnan; Yang, Linshan; Gu, Rongbao - In: International review of economics & finance : IREF 85 (2023), pp. 44-58

Persistent link: https://www.econbiz.de/10014424017

Price discovery process in Nifty spot and futures markets

Choudhary, Kapil; Bajaj, Sushil - In: Global business review 14 (2013) 1, pp. 55-88

Persistent link: https://www.econbiz.de/10009746434

Preisprognosen mit Handelsvolumen

Kempf, Alexander; Korn, Olaf - In: Finanzmarkt und Portfolio-Management 13 (1999) 2, pp. 178-193

Persistent link: https://www.econbiz.de/10001518535

The lead-lag relationship between equities and stock index futures markets around information releases

Frino, Alex; Walter, Terry S.; West, Andrew - In: The journal of futures markets 20 (2000) 5, pp. 467-487

Persistent link: https://www.econbiz.de/10001500120

Optionsbewertung bei stochastischer Volatilität

Nagel, Hartmut - 2001 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001530489