Vector autoregression or simultaneous equations model? The intraday relationship between index arbitrage and market volatility
- 1 April 1995
- journal article
- Published by Elsevier in Journal of Banking & Finance
- Vol. 19 (1) , 173-179
- https://doi.org/10.1016/0378-4266(94)00128-p
Abstract
No abstract availableKeywords
This publication has 9 references indexed in Scilit:
- Reexamining intraday simultaneity in stock index futures marketsJournal of Banking & Finance, 1993
- Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data testJournal of Banking & Finance, 1993
- The Dynamics of Stock Index and Stock Index Futures ReturnsJournal of Financial and Quantitative Analysis, 1990
- Index-Futures Arbitrage and the Behavior of Stock Index Futures PricesThe Review of Financial Studies, 1988
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- The Price Variability-Volume Relationship on Speculative MarketsEconometrica, 1983
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom InflationEconometrica, 1982
- Macroeconomics and RealityEconometrica, 1980
- Time series analysis and simultaneous equation econometric modelsJournal of Econometrics, 1974