Download Info

To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info

Article provided by ADRES in its journal Annales d'Economie et de Statistique.

Volume (Year): (2000)
Issue (Month): 60 (Octobre-Décembre)
Pages: 08
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:adr:anecst:y:2000:i:60:p:08

Contact details of provider:
Web page: http://www.adres.ens.fr/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Audrey Fitoussi).

Related research

Keywords:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
2. Kumar, Praveen & Seppi, Duane J, 1994. "Information and Index Arbitrage," Journal of Business, University of Chicago Press, vol. 67(4), pages 481-509, October. [Downloadable!] (restricted)
3. Biais, Bruno & Foucault, Thierry & Salanie, Francois, 1998. "Floors, dealer markets and limit order markets," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 253-284, September. [Downloadable!] (restricted)
4. Chan, Kalok & Chan, K C & Karolyi, G Andrew, 1991. "Intraday Volatility in the Stock Index and Stock Index Futures Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 4(4), pages 657-84. [Downloadable!] (restricted)
5. Bray, Margaret M, 1981. "Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis," Econometrica, Econometric Society, vol. 49(3), pages 575-96, May. [Downloadable!] (restricted)
6. Subrahmanyam, Avanidhar, 1991. "A Theory of Trading in Stock Index Futures," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 4(1), pages 17-51. [Downloadable!] (restricted)
7. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 441-468, December. [Downloadable!]
8. de Jong, Frank & Nijman, Theo, 1997. "High frequency analysis of lead-lag relationships between financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 259-277, June. [Downloadable!] (restricted)
   Other versions:
   • Jong, F. de & Nijman, T., 1995. "High frequency analysis of lead-lag relationships between financial markets," Discussion Paper 34, Tilburg University, Center for Economic Research. [Downloadable!]
9. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178. [Downloadable!] (restricted)
   Other versions:
   • Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation, Yale University. [Downloadable!]
   • Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
10. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
11. Brannen, Pamela P & Ulveling, Edwin F, 1984. "Considering an Informational Role for a Futures Market," Review of Economic Studies, Blackwell Publishing, vol. 51(1), pages 33-52, January. [Downloadable!] (restricted)

Statistics

Access and download statistics

Did you know? You can use convenient plug-ins to search directly IDEAS from your browser.

This page was last updated on 2009-12-24.