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Stock Index Futures: Theories and International Evidence.
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Stock Index Futures: Theories and International Evidence. (1994)Stock Index Futures: Theories and Interna…Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX (2011)Hedging the black swan: Condi…On the statistical and economic performance of stock return predictive regression models: an international perspective (2010)On the statistical and econom…The efficiency of Greek stock index futures market (2008)The efficiency of Greek stock…Short-term market timing using the bond–equity yield ratio (2008)Short-term market timing usin…The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange (2004)The impact of the introductio…Hedge ratios in Greek stock index futures market (2004)Hedge ratios in Greek stock i…Over-the-counter forward contracts and spot price volatility in shipping (2003)Over-the-counter forward cont…Expiration and maturity effect: empirical evidence from the Spanish spot and futures stock index (2002)Expiration and maturity effec…Does derivatives trading destabilize the underlying assets? Evidence from the Spanish stock market (2002)Does derivatives trading dest…A Study of Arbitrage Efficiency Between the FTSE‐100 Index Futures and Options Contracts (2001)A Study of Arbitrage Efficien…A comparison of measures of hedging effectiveness: a case study using the Australian All Ordinaries Share Price Index Futures contract (2001)A comparison of measures of h…The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994 (1999)The weekend effect, the Stock…Friday the thirteenth and the Financial Times Industrial Ordinary Shares Index 1935-94 (1999)Friday the thirteenth and the…Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves? (1997)Intraday Volatility in Intern…The weekend effect, good news, bad news and the Financial Times Industrial Ordinary Shares Index: 1935–94 (1996)The weekend effect, good news…The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk (1996)The dual listing of stock ind…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Multivariate Simultaneous Generalized ARCH (1995)Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach (2006)Hedging effectiveness of the Athens stock index futures contracts (2008)“Options, Futures, and Other Derivatives” (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Macroeconomics and Reality (1980)ARCH modeling in finance (1992)Futures Trading Activity and Commodity Cash Price Volatility (2005)Time and dynamic volume–volatility relation (2005)Modeling Supply-Side Dynamics of IT Components, Products, and Infrastructure: An Empirical Analysis Using Vector Autoregression (2012)The Behavior of Stock Prices on Fridays and Mondays (1973)Stock returns and the weekend effect (1980)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Is there a Friday the 13th effect in emerging Asian stock markets? (2014)Superstitious seasonality in precious metals markets? Evidence from GARCH models with time-varying skewness and kurtosis (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Impact of Index Futures on Spot Market Volatility in China (2014)Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa İstanbul (2021)What effect did the introduction of Bitcoin futures have on the Bitcoin spot market? (2021)The Behavior of Stock-Market Prices (1965)The effect of personal taxes and dividends on capital asset prices (1979)Seasonal anomalies of stocks in ASEAN equity markets (2004)Informational Externalities and Welfare-Reducing Speculation (1987)Measuring and Testing the Impact of News on Volatility (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Index Futures Trading and Spot Price Volatility (2005)The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market (2006)The impact of futures trading on volatility of the underlying asset in the Turkish stock market (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Statistical analysis of cointegration vectors (1988)Share Price Reaction to Earnings Announcement on the JSE-ALtX: A Test for Market Efficiency (2011)The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures market’s returns: the case of India (2015)Optimization of conditional value-at-risk (2000)Empirical properties of asset returns: stylized facts and statistical issues (2001)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Point process models for extreme returns: Harnessing implied volatility (2017)The role of investor sentiment in the long-term correlation between U.S. stock and bond markets (2018)The COVID-19 Black Swan Crisis: Reaction and Recovery of Various Financial Markets (2020)Testing for a Unit Root in Time Series Regression (1988)The dynamics between freight volatility and fleet size growth in dry bulk shipping markets (2011)Trading volume and volatility in the shipping forward freight market (2012)Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model (2020)The Impact of Stock Index Futures Trading on Daily Returns Seasonality: A Multicountry Study (2002)Examining the Day-of-the-Week Effects in Chinese Stock Markets: New Evidence from a Stochastic Dominance Approach (2011)Another look at calendar anomalies (2019)
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  • 2003Over-the-counter forward contracts and spot price volatility in shipping84 cited
  • 2002Does derivatives trading destabilize the underlying assets? Evidence from the Spanish stock market71 cited
  • 2011Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX60 cited
  • 2004Hedge ratios in Greek stock index futures market56 cited
  • 1997Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?56 cited
  • 2004The impact of the introduction of futures contracts on the spot market volatility: the case of Kuala Lumpur Stock Exchange55 cited
  • 1999The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-199433 cited
  • 2008The efficiency of Greek stock index futures market31 cited
  • 1999Friday the thirteenth and the Financial Times Industrial Ordinary Shares Index 1935-9428 cited
  • 1996The weekend effect, good news, bad news and the Financial Times Industrial Ordinary Shares Index: 1935–9427 cited
  • 2001A Study of Arbitrage Efficiency Between the FTSE‐100 Index Futures and Options Contracts25 cited
  • 2010On the statistical and economic performance of stock return predictive regression models: an international perspective23 cited
  • 1996The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk

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20 cited
  • 2002Expiration and maturity effect: empirical evidence from the Spanish spot and futures stock index19 cited
  • 2008Short-term market timing using the bond–equity yield ratio18 cited
  • 2001A comparison of measures of hedging effectiveness: a case study using the Australian All Ordinaries Share Price Index Futures contract14 cited