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The exchange traded funds’ pricing deviation: analysis and forecasts

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Author Info

  • Richard DeFusco

    ()

  • Stoyu Ivanov

    ()

  • Gordon Karels

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s12197-009-9090-6
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Economics and Finance.

    Volume (Year): 35 (2011)
    Issue (Month): 2 (April)
    Pages: 181-197

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    Handle: RePEc:spr:jecfin:v:35:y:2011:i:2:p:181-197

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    Web page: http://link.springer.de/link/service/journals/120857/index.htm

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    Related research

    Keywords: Exchange Traded Funds; Pricing Deviation; G10; G14;

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    References

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    1. Edwin J. Elton, 2002. "Spiders: Where Are the Bugs?," The Journal of Business, University of Chicago Press, vol. 75(3), pages 453-472, July.
    2. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    3. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    4. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
    5. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
    6. Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
    7. Heij, Christiaan & de Boer, Paul & Franses, Philip Hans & Kloek, Teun & van Dijk, Herman K., 2004. "Econometric Methods with Applications in Business and Economics," OUP Catalogue, Oxford University Press, number 9780199268016.
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    Cited by:
    1. Ivanov, Stoyu I. & Jones, Frank J. & Zaima, Janis K., 2013. "Analysis of DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery," Global Finance Journal, Elsevier, vol. 24(3), pages 171-187.
    2. Stoyu Ivanov, 2013. "The influence of ETFs on the price discovery of gold, silver and oil," Journal of Economics and Finance, Springer, vol. 37(3), pages 453-462, July.

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