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To What Extent did Stock Index Futures Contribute to the October 1987 Stock Market Crash?
15 references·6 citing·42 second hop
To What Extent did Stock Index Futures Contribute to the October 1987 Stock Market Crash? (1993)To What Extent did Stock Index Futures Co…ARCH modeling in finance (1992)ARCH modeling in financeA Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability (1991)A Transactions Data Test of S…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…An Econometric Analysis of Nonsynchronous Trading (1989)An Econometric Analysis of No…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Modelling the persistence of conditional variances (1986)Modelling the persistence of …The pricing of stock index futures (1983)The pricing of stock index fu…Taxes and the Pricing of Stock Index Futures (1983)Taxes and the Pricing of Stoc…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Some New Stock-Market Indexes (1966)Some New Stock-Market IndexesVolatility as a Transmitter of Systemic Risk: Is there a Structural Risk in Finance? (2020)Volatility as a Transmitter o…Price Discovery in Indian Agricultural Commodity Markets (2012)Price Discovery in Indian Agr…Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis (2012)Asymmetries, causality and co…On speculators and hedgers in currency futures markets: who leads whom? (2010)On speculators and hedgers in…Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis (2003)Modelling International Price…Unified tests of causality and cost of carry: the pricing of the French stock index futures contract (2000)Unified tests of causality an…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)R2 around the world: New theory and new tests☆ (2005)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)Predicting Volatility in the Foreign Exchange Market (1995)From value at risk to stress testing: The extreme value approach (2000)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Theory of Rational Option Pricing (1973)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Transactions, Volume, and Volatility (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Theory of rational option pricing (2005)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1989An Econometric Analysis of Nonsynchronous Trading798 cited
  • 1966Some New Stock-Market Indexes538 cited
  • 1983Taxes and the Pricing of Stock Index Futures199 cited
  • 1983The pricing of stock index futures192 cited
  • 1991A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability144 cited

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Cited by

  • 2003Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis61 cited
  • 2012Price Discovery in Indian Agricultural Commodity Markets40 cited
  • 2020Volatility as a Transmitter of Systemic Risk: Is there a Structural Risk in Finance?38 cited
  • 2012Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis28 cited
  • 2010On speculators and hedgers in currency futures markets: who leads whom?21 cited
  • 2000Unified tests of causality and cost of carry: the pricing of the French stock index futures contract20 cited