haku: @author Stoll, H.R. / yhteensä: 3
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| Tekijä: | Stoll, H.R. Whaley, R.E. |
| Otsikko: | The dynamics of stock index and stock index futures returns |
| Lehti: | Journal of Financial and Quantitative Analysis
1990 : DEC, VOL. 25:4, p. 441-468 |
| Asiasana: | SHARE PRICES FUTURES MARKETS FINANCIAL MODELS |
| Kieli: | eng |
| Tiivistelmä: | An investigation of the time series properties of 5-minute, intraday returns of stock index and futures contracts. Theory. Data description and sources. Return series. Infrequent trading and bid/ask price effects. Serial correlation in observed returns. Modelling. Stock index futures returns and stock index returns. Market maturation effects. Eight Tables illustrate the study. The Appendix gives a derivation of a model. |
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