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Index arbitrage with heterogeneous investors: A smooth transition error correction analysis
16 references·10 citing·41 second hop
Index arbitrage with heterogeneous investors: A smooth transition error correction analysis (2001)Index arbitrage with heterogeneous invest…Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation (1997)Transactions Costs and Nonlin…The Limits of Arbitrage (1995)The Limits of ArbitrageOne Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Characterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Characterizing nonlinearities…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…The equity premium: A puzzle (1985)The equity premium: A puzzleA Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model (2021)The impact of Covid-19 on G7 …Determinants of price discovery in the VIX futures market (2017)Determinants of price discove…Hedging Effectiveness in the Index Futures Market (2011)Hedging Effectiveness in the …Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40 Index (2011)Direct and Indirect Effects o…Price Formation in Spot and Futures Markets:Exchange Traded Funds vs. Index Futures (2009)Price Formation in Spot and F…Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment (2006)Temporal aggregation of an ES…Nonlinear dynamics and competing behavioral interpretations: Evidence from intra‐day FTSE‐100 index and futures data (2006)Nonlinear dynamics and compet…Bubbles in the dividend–price ratio? Evidence from an asymmetric exponential smooth-transition model (2006)Bubbles in the dividend–price…Nonlinear Purchasing Power Parity under the Gold Standard (2004)Nonlinear Purchasing Power Pa…The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship (2002)The effect of the introductio…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Economic Forces and the Stock Market (1986)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)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)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Statistical analysis of cointegration vectors (1988)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)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models890 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1988

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Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
786 cited
  • 1997Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation750 cited
  • Cited by

    • 2021The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model134 cited
    • 2017Determinants of price discovery in the VIX futures market57 cited
    • 2006Bubbles in the dividend–price ratio? Evidence from an asymmetric exponential smooth-transition model52 cited
    • 2002The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship38 cited
    • 2006Nonlinear dynamics and competing behavioral interpretations: Evidence from intra‐day FTSE‐100 index and futures data37 cited
    • 2009Price Formation in Spot and Futures Markets:Exchange Traded Funds vs. Index Futures34 cited
    • 2011Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40 Index23 cited
    • 2006Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment21 cited
    • 2004Nonlinear Purchasing Power Parity under the Gold Standard20 cited
    • 2011Hedging Effectiveness in the Index Futures Market16 cited