SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Price discovery among SSE 50 Index‐based spot, futures, and options markets
16 references·1 citing·46 second hop
Price discovery among SSE 50 Index‐based spot, futures, and options markets (2018)Price discovery among SSE 50 Index‐based …Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Informed Trading in Stock and Option Markets (2004)Informed Trading in Stock and…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…Intraday Price Formation in U.S. Equity Index Markets (2003)Intraday Price Formation in U…Price discovery and common factor models (2002)Price discovery and common fa…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)Trading costs and the relativ…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…A Theory of Trading in Stock Index Futures (1991)A Theory of Trading in Stock …Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets (1990)Intraday Price Change and Tra…The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index (1987)The Temporal Price Relationsh…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Informed options trading around holidays (2021)Informed options trading arou…Specification Tests in Econometrics (1978)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)What's Vol Got to Do with It (2010)Tails, Fears, and Risk Premia (2011)Variable Trends in Economic Time Series (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)The crude oil market and the gold market: Evidence for cointegration, causality and price discovery (2010)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Expected stock returns and volatility (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)O/S: The relative trading activity in options and stock (2009)Deviations from Put-Call Parity and Stock Return Predictability (2010)What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010)The Cross-Section of Expected Stock Returns (1992)Diversification's effect on firm value (1995)Earnings Management to Exceed Thresholds (1999)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2004Informed Trading in Stock and Option Markets750 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 2002Price discovery and common factor models546 cited
  • 1991A Theory of Trading in Stock Index Futures542 cited
  • 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index503 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets502 cited
  • 1990Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets444 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

426 cited
  • 1996Trading costs and the relative rates of price discovery in stock, futures, and option markets424 cited
  • Cited by

    • 2021Informed options trading around holidays28 cited