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An empirical examination of the deterministic component in stock price volatility

✍ Scribed by Mu Gu


Book ID
116105781
Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
843 KB
Volume
22
Category
Article
ISSN
0167-2681

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An empirical examination of composite st
✍ Edward M. Saunders Jr.; Arvind Mahajan πŸ“‚ Article πŸ“… 1988 πŸ› John Wiley and Sons 🌐 English βš– 1009 KB

T composite stock index futures prices to associated normative prices as specified by an arbitrage argument while controlling for significant market imperfections. This research contrasts with earlier empirical works in several ways. First, the arbitrage argument is maintained despite the assumption