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Time to maturity in the basis of stock market indices: Evidence from the S&P 500 and the MMI

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  • Beaulieu, Marie-Claude
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    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 5 (1998)
    Issue (Month): 3 (September)
    Pages: 177-195

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    Handle: RePEc:eee:empfin:v:5:y:1998:i:3:p:177-195

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    Web page: http://www.elsevier.com/locate/jempfin

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    Cited by:
    1. BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche 2005-04, Universite de Montreal, Departement de sciences economiques.
    2. Dufour, Jean-Marie & Beaulieu, Marie-Claude & Khalaf, Lynda, 2003. "Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach," Discussion Paper Series 1: Economic Studies 2003,01, Deutsche Bundesbank, Research Centre.
    3. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Center for International Economics, Working Paper Series qt1n04g31b, Center for International Economics, UC Santa Cruz.
    4. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Department of Economics, Working Paper Series qt1n04g31b, Department of Economics, UC Santa Cruz.
    5. Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002. "Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche 17-2002, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.

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