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Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market

Garrett, Ian; Taylor, Nicholas - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 2

We examine the intraday and interday dynamics of both the level of and changes in the FTSE (Financial Times-Stock Exchange) 100 index futures mispricing. Like numerous previous studies we find significant evidence of mean reversion and hence predictability in mispricing changes measured over...

Persistent link: https://www.econbiz.de/10014620847

Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market

Garrett, Ian; Taylor, Nicholas - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 2, pp. 1076-1076

We examine the intraday and interday dynamics of both the level of and changes in the FTSE (Financial Times-Stock Exchange) 100 index futures mispricing. Like numerous previous studies we find significant evidence of mean reversion and hence predictability in mispricing changes measured over...

Persistent link: https://www.econbiz.de/10005459051

Portfolio diversification and excess comovement in commodity prices

Garrett, Ian; Taylor, Nicholas - In: The Manchester School 69 (2001) 4, pp. 351-368

Persistent link: https://www.econbiz.de/10001601622

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

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

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

Persistent link: https://www.econbiz.de/10009949756

The village in the city

Taylor, Nicholas - 1973

Persistent link: https://www.econbiz.de/10004707251

The economic and statistical significance of spread forecasts : evidence from the London Stock Exchange

Taylor, Nicholas - In: Journal of banking & finance 26 (2002) 4, pp. 795-818

Persistent link: https://www.econbiz.de/10001656950

Trading intensity, volatility, and arbitrage activity

Taylor, Nicholas - In: Journal of banking & finance 28 (2004) 5, pp. 1137-1162

Persistent link: https://www.econbiz.de/10002006814

Competition on the London Stock Exchange

Taylor, Nicholas - In: European financial management : the journal of the … 8 (2002) 4, pp. 399-419

Persistent link: https://www.econbiz.de/10001861032

Modeling discontinuous periodic conditional volatility : evidence from the commodity futures market

Taylor, Nicholas - In: The journal of futures markets 24 (2004) 9, pp. 805-834

Persistent link: https://www.econbiz.de/10002145942

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