๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Solving the Mystery of Stock Futures

โœ Scribed by Philip McBride Johnson

Book ID
124938909
Publisher
CFA Institute
Year
2005
Tongue
English
Weight
504 KB
Volume
61
Category
Article
ISSN
0015-198X

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๐Ÿ“œ SIMILAR VOLUMES

The pricing of stock index futures
The pricing of stock index futures
โœ Bradford Cornell; Kenneth R. French ๐Ÿ“‚ Article ๐Ÿ“… 1983 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 840 KB

he prices observed for stock index futures have surprised both academics and T practitioners. The price structure, which gives the relation between the futures and spot prices as a function of the time to maturity, is generally flatter than simple arbitrage models predict. In fact, the futures price

TAKING STOCK OF PHENOMENOLOGY FUTURES
TAKING STOCK OF PHENOMENOLOGY FUTURES
โœ SHAUN GALLAGHER ๐Ÿ“‚ Article ๐Ÿ“… 2012 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 70 KB
Stock market volatility and the forecast
Stock market volatility and the forecasting performance of stock index futures
โœ Janchung Wang ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 120 KB ๐Ÿ‘ 1 views

## Abstract This study attempts to apply the general equilibrium model of stock index futures with both stochastic market volatility and stochastic interest rates to the TAIFEX and the SGX Taiwan stock index futures data, and compares the predictive power of the cost of carry and the general equili