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

Author

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  • Ángel Pardo

    (Universidad de Valencia)

  • Francisco Climent

    (Universidad de Valencia)

Abstract

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Suggested Citation

  • Ángel Pardo & Francisco Climent, 2000. "Relaciones temporales entre el contrato de futuro sobre IBEX-35 y su activo subyacente," Investigaciones Economicas, Fundación SEPI, vol. 24(1), pages 219-236, January.
  • Handle: RePEc:iec:inveco:v:24:y:2000:i:1:p:219-236
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    References listed on IDEAS

    as
    1. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
    2. 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.
    3. 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).
    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. 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 123-152.
    6. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    7. 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.
    8. 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.
    9. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    10. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    11. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
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    Cited by:

    1. Rubio, Santiago J. & Goetz, Renan-U., 1998. "Optimal growth and land preservation," Resource and Energy Economics, Elsevier, vol. 20(4), pages 345-372, December.
    2. Vicente Meneu & Hipòlit Torró, 2003. "Asymmetric covariance in spot‐futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
    3. 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).
    4. 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).

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