References

• 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
• 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
• 1995Market microstructure theory1,305 cited
• 1996Market Microstructure Theory.1,152 cited
• 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
• 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
• 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index503 cited
• 1991Intraday Volatility in the Stock Index and Stock Index Futures Markets440 cited
• 1999Price discovery and volatility spillovers in the DJIA index and futures markets284 cited
• 1993Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach239 cited
• 2001A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100202 cited
• 2004Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico200 cited
• 1996Temporal relationships and dynamic interactions between spot and futures stock markets