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Price discovery in strategically-linked markets: the case of the gold-silver spread
16 references·1 citing·38 second hop
Price discovery in strategically-linked markets: the case of the gold-silver spread (2000)Price discovery in strategically-linked m…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Market reaction to anticipated announcements (1991)Market reaction to anticipate…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Testing for Nonlinear Depende…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Volatility forecasting of strategically linked commodity ETFs: gold-silver (2016)Volatility forecasting of str…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)The Relation Between Price Changes and Trading Volume: A Survey (1987)Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)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)The Pricing of Options and Corporate Liabilities (1973)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)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)Econometric Analysis of Cross Section and Panel Data (2001)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
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  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
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  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

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723 cited
  • 1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates665 cited
  • 1991Market reaction to anticipated announcements596 cited
  • Cited by

    • 2016Volatility forecasting of strategically linked commodity ETFs: gold-silver27 cited