Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach
- 1 October 1993
- journal article
- research article
- Published by Wiley in Journal of Futures Markets
- Vol. 13 (7), 711-742
- https://doi.org/10.1002/fut.3990130702
Abstract
No abstract availableThis publication has 36 references indexed in Scilit:
- Price variability and the maturity effect in futures marketsJournal of Futures Markets, 1986
- A Method for Testing the Independence of Two Time Series That Accounts for a Potential Pattern in the Cross-Correlation FunctionJournal of the American Statistical Association, 1986
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient MarketThe Journal of Finance, 1984
- Hedging Performance and Basis Risk in Stock Index FuturesThe Journal of Finance, 1984
- Measurement of Linear Dependence and Feedback between Multiple Time SeriesJournal of the American Statistical Association, 1982
- Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation ApproachJournal of the American Statistical Association, 1976
- Some comparisons of tests for a shift in the slopes of a multivariate linear time series modelJournal of Econometrics, 1975
- A Test for a Shifting Slope Coefficient in a Linear ModelJournal of the American Statistical Association, 1970
- Investigating Causal Relations by Econometric Models and Cross-spectral MethodsEconometrica, 1969