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The Lead–Lag Relationship Between Stock Indices and Stock Index Futures Contracts: Further Australian Evidence
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The Lead–Lag Relationship Between Stock Indices and Stock Index Futures Contracts: Further Australian Evidence (1999)The Lead–Lag Relationship Between Stock I…Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach (2006)Calculating the optimal hedge…The impact of transaction costs on price discovery (2003)The impact of transaction cos…Econometric policy evaluation: A critique (1976)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)A clustering time series model for the optimal hedge ratio decision making (2014)Forecasting US Unemployment with Radial Basis Neural Networks, Kalman Filters and Support Vector Regressions (2014)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Daily seasonality in crude oil returns and volatilities (2014)Price discovery of cross-listed firms (2016)
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  • 2003The impact of transaction costs on price discovery36 cited
  • 2006Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach33 cited

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