An alternative specification for intraday simultaneity in spot and futures markets
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- Davidson, James & Hall, Stephen, 1991. "Cointegration in Recursive Systems," Economic Journal, Royal Economic Society, vol. 101(405), pages 239-251, March.
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- Engle, Robert & Granger, Clive, 2015.
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- Mahmoud Wahab & Malek Lashgari, 1993. "Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(7), pages 711-742, October.
- Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 441-468, December.
- Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244. Full references (including those not matched with items on IDEAS)
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