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The dynamics of the relationship between spot and futures markets under high and low variance regimes
16 references·1 citing·37 second hop
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this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,759 cited
  • 1986Modelling the persistence of conditional variances2,083 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,846 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1994Business-Cycle Phases and Their Transitional Dynamics883 cited
  • 1991Financial Investment Opportunities and the Macroeconomy862 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1996Stock market volatility and the business cycle779 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 1991A Theory of Trading in Stock Index Futures542 cited
  • 1966Some New Stock-Market Indexes538 cited
  • 1998Volatility and cross correlation across major stock markets525 cited
  • 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index503 cited

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  • 1989Heteroskedasticity in Stock Returns479 cited
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    • 2010The nonlinear effects of expected and unexpected components of monetary policy on the dynamics of REIT returns17 cited