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Intraday price dynamics in spot and derivatives markets
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Intraday price dynamics in spot and derivatives markets (2013)Intraday price dynamics in spot and deriv…The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives (2013)The Information Content of Tr…Intraday price formation and bid-ask spread components: A new approach using a cross-market model (2011)Intraday price formation and …Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China (2011)Intraday price discovery and …The Transmission of Financial Stress from Advanced to Emerging Economies (2009)The Transmission of Financial…Informed trading in the index option market: The case of KOSPI 200 options (2008)Informed trading in the index…The Lead‐Lag Relationship Between Cash and Stock Index Futures in a New Market (2007)The Lead‐Lag Relationship Bet…Dynamic asset trees and Black Monday (2003)Dynamic asset trees and Black…Econophysics: financial time series from a statistical physics point of view (2000)Econophysics: financial time …High frequency analysis of lead-lag relationships between financial markets (1997)High frequency analysis of le…Intraday return dynamics between the cash and the futures markets in Japan (1996)Intraday return dynamics betw…A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France (1996)A further investigation of th…Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Unit Root Tests in ARMA Model…A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index (1987)The Temporal Price Relationsh…Investigation of a lead‐lag relationship between spot stock 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References

  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag1,459 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
  • 2009The Transmission of Financial Stress from Advanced to Emerging Economies408 cited
  • 2003Dynamic asset trees and Black Monday304 cited
  • 2011Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China203 cited
  • 2008Informed trading in the index option market: The case of KOSPI 200 options174 cited
  • 2000Econophysics: financial time series from a statistical physics point of view165 cited
  • 1997High frequency analysis of lead-lag relationships between financial markets125 cited
  • 1987Investigation of a lead‐lag relationship between spot stock indices and their futures contracts109 cited
  • 2013The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives107 cited
  • 2011Intraday price formation and bid-ask spread components: A new approach using a cross-market model90 cited
  • 2007The Lead‐Lag Relationship Between Cash and Stock Index Futures in a New Market

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90 cited
  • 1996Intraday return dynamics between the cash and the futures markets in Japan89 cited
  • 1996A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France83 cited
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