Using high, low, open, and closing prices to estimate the effects of cash settlement on futures prices
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- Kenyon, David E. & Bainbridge, Bruce & Ernst, Robin, 1991. "Impact Of Cash Settlement On Feeder Cattle Basis," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 16(01), July.
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- Chan, Leo & Lien, Donald, 2002. "Measuring the impacts of cash settlement: A stochastic volatility approach," International Review of Economics & Finance, Elsevier, vol. 11(3), pages 251-263.
- Lien, Donald & Tse, Yiu Kuen, 2002. "Physical delivery versus cash settlement: an empirical study on the feeder cattle contract," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 361-371, November.
- Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
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