A Partially Linear Approach to Modeling the Dynamics of Spot and Futures Prices-Reference-Cited by-同舟云学术

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A Partially Linear Approach to Modeling the Dynamics of Spot and Futures Prices

Published:2014-03-18 Issue:4 Volume:35 Page:371-384
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Gaul Jürgen¹,Theissen Erik²

Affiliation:

1. Jürgen Gaul is at Bonn Graduate School of Economics; Bonn Germany

2. Erik Theissen is at University of Mannheim and Centre for Financial Research (Cologne); Germany

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21669/fullpdf

Reference35 articles.

1. Market architecture and nonlinear dynamics of Australian stock and futures indices;Anderson;Australian Economic Papers,2001

2. A note on execution costs for stock index futures: Information versus liquidity effects;Berkman;Journal of Banking and Finance,2005

3. Trading and pricing in upstairs and downstairs stock markets;Booth;Review of Financial Studies,2002

4. DAX index futures: Mispricing and arbitrage in German markets;Bühler;Journal of Futures Markets,1995

5. How smooth is price discovery? Evidence from cross-listed stock trading;Chen;Journal of International Money and Finance,2013

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1. Dynamic Linkages and Temporal Relationships Between Spot and Future Index Prices: Empirical Evidence from India Using Non-linear GARCH–BEKK;Asia-Pacific Financial Markets;2024-05-22

2. Specification Testing of Regression Models with Mixed Discrete and Continuous Predictors;Journal of Business & Economic Statistics;2022-09-27

3. A Multi-market Comparison of the Intraday Lead–Lag Relations Among Stock Index-Based Spot, Futures and Options;Computational Economics;2022-05-14

4. Testing the informativeness of non-price variables with MIDAS touch;IIMB Management Review;2020-06

5. Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model;Journal of Financial Markets;2020-01

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