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Relaciones temporales entre el contrato de futuro sobre IBEX-35 y su activo subyacente

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  • Ángel Pardo

    (Universidad de Valencia)

  • Francisco Climent

    (Universidad de Valencia)

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Bibliographic Info

Article provided by Fundación SEPI in its journal Investigaciones Economicas.

Volume (Year): 24 (2000)
Issue (Month): 1 (January)
Pages: 219-236

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Handle: RePEc:iec:inveco:v:24:y:2000:i:1:p:219-236

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Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
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  1. deB. Harris, Frederick H. & McInish, Thomas H. & Shoesmith, Gary L. & Wood, Robert A., 1995. "Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 563-579, December.
  2. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
  3. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  4. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  5. James G. MacKinnon, 2010. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
  6. 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.
  7. Chan, Kalok, 1992. "A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 123-52.
  8. Ángel Pardo Tornero & Francisco José Climent Diranzo, 1996. "Estudio de las relaciones entre el contrato de futuro sobre IBEX-35 y su activo subyacente," Working Papers. Serie EC 1996-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  9. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  10. Jokivuolle, Esa, 1995. "Measuring True Stock Index Value in the Presence of Infrequent Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 455-464, September.
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Cited by:
  1. Santiago J. Rubio Jorge & Begoña Casino, 1997. "Strategic behavior and efficiency in a groundwater pumping differential game," Working Papers. Serie EC 1997-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  2. Rubio, Santiago J. & Goetz, Renan-U., 1998. "Optimal growth and land preservation," Resource and Energy Economics, Elsevier, vol. 20(4), pages 345-372, December.
  3. Vicente Calabuig Alcantara, 1997. "Ineficiencias en las negociaciones entre dos agentes completamente informados," Working Papers. Serie EC 1997-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  4. Vicente Meneu & Hipolit Torro, . "Asymmetric covariance in sport-future markets," Studies on the Spanish Economy 135, FEDEA.

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