A Partially Linear Approach to Modelling the Dynamics of Spot and Futures Prices
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Elsevier BV
Reference31 articles.
1. Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices;H M Anderson;Australian Economic Papers,2001
2. A Note on Execution Costs for Stock Index Futures: Information Versus Liquidity Effects;H Berkmann;Journal of Banking and Finance,2005
3. Trading and Pricing in Upstairs and Downstairs Markets;G Booth;Review of Financial Studies,2002
4. DAX Index Futures: Mispricing and Arbitrage in German Markets;W Buehler;Journal of Futures Markets,1995
5. Common factor components versus information shares: A reply;F Deb Harris;Journal of Financial Markets,2002
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Determinants of price discovery in the VIX futures market;Journal of Empirical Finance;2017-09
2. Price discovery and investor structure in stock index futures;Journal of Futures Markets;2011-01-13
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