✦ LIBER ✦

CONDITIONAL HETEROSKEDASTICITY AND THE WEEKEND EFFECT IN S&P 500 INDEX FUTURES

✍ Scribed by Mohammad Najand; Kenneth Yung

Book ID: 111105619
Publisher: John Wiley and Sons
Year: 1994
Tongue: English
Weight: 457 KB
Volume: 21
Category: Article
ISSN: 0306-686X
DOI: 10.1111/j.1468-5957.1994.tb00339.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Hedging the black swan: Conditional hete

Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX

✍ Sawsan Hilal; Ser-Huang Poon; Jonathan Tawn 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 804 KB

Intraday patterns in the S&P 500 index f

Intraday patterns in the S&P 500 index futures market

✍ Peter D. Ekman 📂 Article 📅 1992 🏛 John Wiley and Sons 🌐 English ⚖ 994 KB

The detailed descriptions of intraday volatility and other variables may also contribute to the continuing public discussion on stock index futures. ## PREVIOUSLY OBSERVED PATTERNS The U-shaped intraday pattern in stock returns and returns variance are first documented by Wood, Mclnish, and Ord(1

Common volatility in S&P 500 stock index

Common volatility in S&P 500 stock index and S&P 500 index futures prices during October 1987

✍ Bala Arshanapalli; John Doukas 📂 Article 📅 1994 🏛 John Wiley and Sons 🌐 English ⚖ 560 KB

We are grateful to Paul D. Koch (referee) and an anonymous referee for helpful comments and suggestions.

The linkages of S & P 500 stock index an

The linkages of S & P 500 stock index and S & P 500 stock index futures prices during October 1987

✍ Bala Arshanapalli; John Doukas 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 858 KB

Dynamic Dependence Between Liquidity and

Dynamic Dependence Between Liquidity and the S&P 500 Index Futures-Cash Basis

✍ DONALD LIEN; GERUI LIM; LI YANG; CHUNYANG ZHOU 📂 Article 📅 2012 🏛 John Wiley and Sons 🌐 English ⚖ 684 KB

The limits to stock index arbitrage: Exa

The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS

✍ Nivine Richie; Robert T. Daigler; Kimberly C. Gleason 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 155 KB 👁 1 views

## Abstract This study examines factors affecting stock index spot versus futures pricing and arbitrage opportunities by using the S&P 500 cash index and the S&P 500 Standard and Poor's Depository Receipt (SPDR) Exchange‐Traded Fund (ETF) as “underlying cash assets.” Potential limits to arbitrage w