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The failure of the mortgage‐backed futures contract
14 references·0 citing·40 second hop
The failure of the mortgage‐backed futures contract (1995)The failure of the mortgage‐backed future…Advances in Futures and Options Research (1994)Advances in Futures and Optio…Trading noise, adverse selection, and intraday bid‐ask spreads in futures markets (1992)Trading noise, adverse select…Requiem for a Market: An Analysis of the Rise and Fall of a Financial Futures Contract (1989)Requiem for a Market: An Anal…Success and failure of futures contracts : theory and empirical evidence (1986)Success and failure of future…Hedging with stock index futures: Theory and application in a new market (1985)Hedging with stock index futu…Futures markets: Their purpose, their history, their growth, their successes and failures (1984)Futures markets: Their purpos…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Transactions data tests of efficiency of the Chicago board options exchange (1983)Transactions data tests of ef…Why There Are Organized Futures Markets (1981)Why There Are Organized Futur…The relationship between volume and price variability in futures markets (1981)The relationship between volu…Innovation, competition, and new contract design in futures markets (1981)Innovation, competition, and …Advertising and Aggregate Consumption: An Analysis of Causality (1980)Advertising and Aggregate Con…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Market Making and Reversal on the Stock Exchange (1966)Market Making and Reversal on…Capitalism, Socialism and Democracy. (1943)Industrial Market Structure and Economic Performance. (1971)Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets (1984)Optimal Innovation of Futures Contracts (1989)Capitalism, Socialism and Democracy (1997)Prices vs. Quantities (1974)The pricing of commodity contracts (1976)Facts and Fantasies about Commodity Futures (2006)Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities (2006)Shall We Vote on Values, But Bet on Beliefs? (2013)Public Regulation of the Securities Markets (1964)The Random Character of Stock Market Prices (1968)On computing mean returns and the small firm premium (1983)Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices (1987)Testing for jumps when asset prices are observed with noise–a “swap variance” approach (2008)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Expectations and the neutrality of money (1972)Lead‐lag relationships between trading volume and price variability: New evidence (1986)Trading Volume and Market Volatility: Developed versus Emerging Stock Markets (2007)Intraday volatility interaction between the crude oil and equity markets (2015)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Facts and Fantasies about Commodity Futures (2004)Facts and Fantasies about Commodity Futures Ten Years Later (2015)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)The Division of Markets is Limited by the Extent of Liquidity (Spatial Competition With Externalities) (1988)Nobel Laureate: Ronald Coase and Methodology (1993)The Role of Liquidity in Futures Market Innovations (1993)In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005)Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis (2005)Asymptotics for out of sample tests of Granger causality (2006)Trading volume, bid-ask spread, and price volatility in futures markets (2000)Managing Capacity in the High-Tech Industry: A Review of Literature (2005)The forecast quality of CBOE implied volatility indexes (2005)
this work references cited by second hop

References

  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1980Advertising and Aggregate Consumption: An Analysis of Causality548 cited
  • 1966Market Making and Reversal on the Stock Exchange371 cited
  • 1994Advances in Futures and Options Research271 cited
  • 1984Futures markets: Their purpose, their history, their growth, their successes and failures190 cited
  • 1981Why There Are Organized Futures Markets172 cited
  • 1981Innovation, competition, and new contract design in futures markets161 cited
  • 1981The relationship between volume and price variability in futures markets139 cited
  • 1986Success and failure of futures contracts : theory and empirical evidence124 cited
  • 1989Requiem for a Market: An Analysis of the Rise and Fall of a Financial Futures Contract113 cited
  • 1983Transactions data tests of efficiency of the Chicago board options exchange106 cited
  • 1985Hedging with stock index futures: Theory and application in a new market98 cited
  • 1992Trading noise, adverse selection, and intraday bid‐ask spreads in futures markets55 cited

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