Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market-Reference-Cited by-同舟云学术

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

Published:2001-07-01 Issue:2 Volume:5 Page:133-152
ISSN:0000-0000
Container-title:Studies in Nonlinear Dynamics and Econometrics
language:
Short-container-title:

Author:

Garrett Ian,Taylor Nicholas

Publisher

MIT Press - Journals

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Analysis,Economics and Econometrics,Social Sciences (miscellaneous),Analysis

Cited by 12 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. Mispricing in CNX Nifty Futures: An Empirical Investigation;Asia-Pacific Journal of Management Research and Innovation;2014-12

2. Short-term and long-term dependencies of the S&P 500 index and commodity prices;Quantitative Finance;2013-04

3. Higher order moment risk in efficient futures portfolios;Journal of Economics and Business;2013-01

4. Dynamic Dependence Between Liquidity and the S&P 500 Index Futures-Cash Basis;Journal of Futures Markets;2012-04-27

5. A Markowitz Optimization of Commodity Futures Portfolios;Journal of Futures Markets;2012-03-27

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