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Trading futures spreads: an application of correlation and threshold filters
13 references·4 citing·47 second hop
Trading futures spreads: an application of correlation and threshold filters (2006)Trading futures spreads: an application o…Spreading the Wealth (2002)Spreading the WealthPrice spread and convenience yield behaviour in the international oil market (2001)Price spread and convenience …Bounds testing approaches to the analysis of level relationships (2001)Bounds testing approaches to …Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Interpreting cointegrating vectors and common stochastic trends (1996)Interpreting cointegrating ve…Designing a neural network for forecasting financial and economic time series (1996)Designing a neural network fo…A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability (1991)A Transactions Data Test of S…Stock index futures arbitrage: International evidence (1990)Stock index futures arbitrage…A Comprehensive Test of Futures Market Disequilibrium (1990)A Comprehensive Test of Futur…The CRISMA trading system (1988)The CRISMA trading systemSome New Filter Rule Tests: Methods and Results (1988)Some New Filter Rule Tests: M…Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Index-Futures Arbitrage and t…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Modeling the volatility of futures return in rubber and oil—A Copula-based GARCH model approach (2013)Modeling the volatility of fu…Modelling and trading the realised volatility of the FTSE100 futures with higher order neural networks (2011)Modelling and trading the rea…Modelling and trading the EUR/USD exchange rate at the ECB fixing (2009)Modelling and trading the EUR…Modelling and trading the gasoline crack spread: A non-linear story (2006)Modelling and trading the gas…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The saving and investment nexus for China: evidence from cointegration tests (2005)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A neural network model for bankruptcy prediction (1990)Support vector machine with adaptive parameters in financial time series forecasting (2003)Predicting the Price of Bitcoin Using Machine Learning (2018)Forecasting: theory and practice (2022)The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The relation between forward prices and futures prices (1981)Price Movements and Price Discovery in Futures and Cash Markets (1983)Stock index futures mispricing: profit opportunities or risk premia? 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References

  • 2001Bounds testing approaches to the analysis of level relationships20,339 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1996Designing a neural network for forecasting financial and economic time series1,092 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 1988Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices350 cited
  • 1988Some New Filter Rule Tests: Methods and Results240 cited
  • 2002Spreading the Wealth224 cited
  • 1996Interpreting cointegrating vectors and common stochastic trends197 cited
  • 1991A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability144 cited
  • 1990Stock index futures arbitrage: International evidence115 cited
  • 1988The CRISMA trading system114 cited
  • 2001Price spread and convenience yield behaviour in the international oil market98 cited
  • 1990A Comprehensive Test of Futures Market Disequilibrium57 cited

Cited by

  • 2006Modelling and trading the gasoline crack spread: A non-linear story35 cited
  • 2009Modelling and trading the EUR/USD exchange rate at the ECB fixing

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34 cited
  • 2013Modeling the volatility of futures return in rubber and oil—A Copula-based GARCH model approach23 cited
  • 2011Modelling and trading the realised volatility of the FTSE100 futures with higher order neural networks22 cited