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Wavelet Analysis of the Cost-of-Carry Model
12 references·5 citing·51 second hop
Wavelet Analysis of the Cost-of-Carry Model (2001)Wavelet Analysis of the Cost-of-Carry Mod…An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets (2000)An alternative maximum likeli…Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter (1999)Using wavelets to obtain a co…The contribution of wavelets to the analysis of economic and financial data (1999)The contribution of wavelets …The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income (1998)The Decomposition of Economic…Lead‐lag relationship between spot index and futures price of the nikkei stock average (1995)Lead‐lag relationship between…AN ANALYSIS OF U.S. STOCK PRICE BEHAVIOR USING WAVELETS (1995)AN ANALYSIS OF U.S. STOCK PRI…Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach (1993)Price dynamics and error corr…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…The October 1987 S&P 500 Stock-Futures Basis (1989)The October 1987 S&P 500 Stoc…The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index (1987)The Temporal Price Relationsh…The pricing of stock index futures (1983)The pricing of stock index fu…Macroeconomics and Reality (1980)Macroeconomics and RealityLinear and non-linear Granger causality between oil spot and futures prices: A wavelet based test (2014)Linear and non-linear Granger…Wavelet- and SVM-based forecasts: An analysis of the U.S. metal and materials manufacturing industry (2007)Wavelet- and SVM-based foreca…The war on terror and its impact on the long-term volatility of financial markets (2007)The war on terror and its imp…The International CAPM and a Wavelet-Based Decomposition of Value at Risk (2006)The International CAPM and a …Portfolio management under sudden changes in volatility and heterogeneous investment horizons (2006)Portfolio management under su…Some New Stock-Market Indexes (1966)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability (1991)Information and Index Arbitrage (1994)Crises in Developed and Emerging Stock Markets (1998)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100 (2001)Some Recent Developments in Futures Hedging (2002)Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico (2004)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Adjustment of Consumption to Changing Expectations About Future Income (1981)Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Oil and the macroeconomy: using wavelets to analyze old issues (2010)Wavelet-based evidence of the impact of oil prices on stock returns (2013)DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)Options, Futures, and Other Derivative Securities. 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this work references cited by second hop

References

  • 1980Macroeconomics and Reality12,826 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index503 cited
  • 1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income370 cited
  • 1999The contribution of wavelets to the analysis of economic and financial data247 cited
  • 1993Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach239 cited
  • 1983The pricing of stock index futures192 cited
  • 1989The October 1987 S&P 500 Stock-Futures Basis162 cited
  • 1999Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter156 cited
  • 1995Lead‐lag relationship between spot index and futures price of the nikkei stock average140 cited
  • 2000An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets116 cited
  • 1995AN ANALYSIS OF U.S. STOCK PRICE BEHAVIOR USING WAVELETS114 cited

Cited by

  • 2014Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test81 cited
  • 2007The war on terror and its impact on the long-term volatility of financial markets

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74 cited
  • 2007Wavelet- and SVM-based forecasts: An analysis of the U.S. metal and materials manufacturing industry40 cited
  • 2006Portfolio management under sudden changes in volatility and heterogeneous investment horizons29 cited
  • 2006The International CAPM and a Wavelet-Based Decomposition of Value at Risk27 cited