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General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence

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  • Hemler, Michael L.
  • Longstaff, Francis A.

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  • Hemler, Michael L. & Longstaff, Francis A., 1991. "General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 287-308, September.
  • Handle: RePEc:cup:jfinqa:v:26:y:1991:i:03:p:287-308_00
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    Cited by:

    1. Janchung Wang, 2011. "Price Behavior of Stock Index Futures: Evidence from the FTSE Xinhua China A50 and H-Share Index Futures Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 61-77, January.
    2. Grunbichler, Andreas & Longstaff, Francis A., 1996. "Valuing futures and options on volatility," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 985-1001, July.
    3. Longstaff, Francis A & Wang, Ashley, 2002. "ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt3mw4q41x, Anderson Graduate School of Management, UCLA.
    4. Janchung Wang, 2011. "Price Behavior of Stock Index Futures: Evidence from the FTSE Xinhua China A50 and H-Share Index Futures Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 61-77, January.
    5. Simon H. Yen & Jai Jen Wang, 2007. "General Equilibrium Stock Index Futures Pricing Allowing for Event Risk," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 6(2), pages 103-119, August.
    6. Edyta Marcinkiewicz, 2016. "Short Sale and Index Futures Mispricing: Evidence from the Warsaw Stock Exchange," Prague Economic Papers, University of Economics, Prague, vol. 2016(5), pages 547-559.
    7. Chou-Wen Wang & Ting-Yi Wu, 2007. "An Alternative Formulation for the Pricing of Stock Index Futures: Theoretical and Empirical Perspectives," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 6(2), pages 121-134, August.
    8. Janchung Wang, 2009. "Stock market volatility and the forecasting performance of stock index futures," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(4), pages 277-292.
    9. Tu, Anthony H. & Hsieh, Wen-Liang G. & Wu, Wei-Shao, 2016. "Market uncertainty, expected volatility and the mispricing of S&P 500 index futures," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 78-98.
    10. Yen, Simon & Wang, Jai Jen, 2009. "Information-time based futures pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3826-3836.
    11. Naoto Kunitomo & Yong-Jin Kim, 2007. "Effects Of Stochastic Interest Rates And Volatility On Contingent Claims," The Japanese Economic Review, Japanese Economic Association, vol. 58(1), pages 71-106.
    12. Berglund, T. & Kabir, R., 1995. "What explains the difference between the futures' price and its "fair" value? : evidence from the european options exchange," Discussion Paper 1995-83, Tilburg University, Center for Economic Research.
    13. Naoto Kunitomo & Yong-Jin Kim, 2000. "Effects of Stochastic Interest Rates and Volatility on Contingent Claims," CIRJE F-Series CIRJE-F-67, CIRJE, Faculty of Economics, University of Tokyo.
    14. Zhong, Maosen & Darrat, Ali F. & Otero, Rafael, 2004. "Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3037-3054, December.
    15. Longstaff, Francis & Wang, Ashley, 2002. "Electricity Forward Prices: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt7mh2m2bt, Anderson Graduate School of Management, UCLA.
    16. Naoto Kunitomo & Yong-Jin Kim, 2001. "Effects of Stochastic Interest Rates and Volatility on Contingent Claims (Revised Version)," CIRJE F-Series CIRJE-F-129, CIRJE, Faculty of Economics, University of Tokyo.
    17. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    18. Daouk, Hazem & Guo, Jie Qun, 2003. "Switching Asymmetric GARCH and Options on a Volatility Index," Working Papers 127187, Cornell University, Department of Applied Economics and Management.

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