Discrete Euler processes and their applications
Download full text from publisher
References listed on IDEAS
- T.J. Brailsford & A.J. Cusack, 1997. "A comparison of futures pricing models in a new market: The case of individual share futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(5), pages 515-541, August.
- Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
- Joseph K. W. Fung & Paul Draper, 1999. "Mispricing of index futures contracts and short sales constraints," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(6), pages 695-715, September.
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
- Richard D. F. Harris & Jian Shen, 2003. "Robust estimation of the optimal hedge ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(8), pages 799-816, August.
- Nusret Cakici & Sris Chatterjee, 1991. "Pricing stock index futures with stochastic interest rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(4), pages 441-452, August.
- 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.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
- Chiras, Donald P. & Manaster, Steven, 1978. "The information content of option prices and a test of market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 213-234.
- Bradford Cornell & Kenneth R. French, 1983. "The pricing of stock index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(1), pages 1-14, March.
- Bessembinder, Hendrik & Seguin, Paul J, 1992. " Futures-Trading Activity and Stock Price Volatility," Journal of Finance, American Finance Association, vol. 47(5), pages 2015-2034, December.
- David M. Modest & Mahadevan Sundaresan, 1983. "The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(1), pages 15-41, March.
- Cornell, Bradford & French, Kenneth R, 1983. " Taxes and the Pricing of Stock Index Futures," Journal of Finance, American Finance Association, vol. 38(3), pages 675-694, June.
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
- Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
- Gerald D. Gay & Dae Y. Jung, 1999. "A further look at transaction costs, short sale restrictions, and futures market efficiency: The case of Korean stock index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(2), pages 153-174, April.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:28:y:2009:i:4:p:293-315. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www3.interscience.wiley.com/cgi-bin/jhome/2966 .
We have no references for this item. You can help adding them by using this form .