Yuan, Yuan; Zhou, Zhizhong The impact of stock index futures on the microstructure of spot market. (Chinese. English summary) Zbl 1438.91167 J. Syst. Sci. Math. Sci. 39, No. 3, 353-364 (2019). MSC: 91G20 91G15 PDF BibTeX XML Cite \textit{Y. Yuan} and \textit{Z. Zhou}, J. Syst. Sci. Math. Sci. 39, No. 3, 353--364 (2019; Zbl 1438.91167)
Liu, Saike; He, Xiaoqun Analysis of the relationship between the volatility of stock index futures and spot based on long memory model. (Chinese. English summary) Zbl 1424.91131 Math. Pract. Theory 48, No. 20, 58-64 (2018). MSC: 91G20 PDF BibTeX XML Cite \textit{S. Liu} and \textit{X. He}, Math. Pract. Theory 48, No. 20, 58--64 (2018; Zbl 1424.91131)
He, Feng; Zhang, Wei; Xiong, Xiong; Zhang, Jing; Meng, Xiangtong Research on the relationship between CSI 300 stock index futures and its underlying stock index. (Chinese. English summary) Zbl 1399.91112 J. Syst. Eng. 32, No. 5, 648-659 (2017). MSC: 91G20 PDF BibTeX XML Cite \textit{F. He} et al., J. Syst. Eng. 32, No. 5, 648--659 (2017; Zbl 1399.91112) Full Text: DOI
de Pinho, Frank M.; Franco, Glaura C.; Silva, Ralph S. Modeling volatility using state space models with heavy tailed distributions. (English) Zbl 07313594 Math. Comput. Simul. 119, 108-127 (2016). MSC: 62 91 PDF BibTeX XML Cite \textit{F. M. de Pinho} et al., Math. Comput. Simul. 119, 108--127 (2016; Zbl 07313594) Full Text: DOI
He, Zhifang; Yang, Xin; Gong, Xu; Wen, Fenghua Predicting stock index futures market volatility. (Chinese. English summary) Zbl 1374.62143 J. Syst. Sci. Math. Sci. 36, No. 8, 1160-1174 (2016). MSC: 62P05 62M20 PDF BibTeX XML Cite \textit{Z. He} et al., J. Syst. Sci. Math. Sci. 36, No. 8, 1160--1174 (2016; Zbl 1374.62143)
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar Nonparametric estimation and inference for conditional density based Granger causality measures. (English) Zbl 1293.62082 J. Econom. 180, No. 2, 251-264 (2014). MSC: 62G05 62G07 62H05 62M10 62P05 91G70 PDF BibTeX XML Cite \textit{A. Taamouti} et al., J. Econom. 180, No. 2, 251--264 (2014; Zbl 1293.62082) Full Text: DOI
Yang, Ke; Tian, Fengping A semiparametric forecasting model for volatility of stock index futures and its MCS test. (Chinese. English summary) Zbl 1299.91154 Acta Sci. Nat. Univ. Sunyatseni 52, No. 4, 14-24 (2013). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{K. Yang} and \textit{F. Tian}, Acta Sci. Nat. Univ. Sunyatseni 52, No. 4, 14--24 (2013; Zbl 1299.91154)
Wang, Mu-Shun Idiosyncratic volatility and the expected stock returns for exploring the relationship with panel threshold regression. (English) Zbl 1270.91087 Asia-Pac. Financ. Mark. 20, No. 2, 113-129 (2013). MSC: 91G10 91G20 91B74 62P05 PDF BibTeX XML Cite \textit{M.-S. Wang}, Asia-Pac. Financ. Mark. 20, No. 2, 113--129 (2013; Zbl 1270.91087) Full Text: DOI
Chang, Chen-Ye; Qian, Xi-Yuan; Jian, Sheng-Yuan Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS. (English) Zbl 1431.62470 J. Stat. Comput. Simulation 82, No. 1, 19-39 (2012). MSC: 62P05 62M10 62F15 PDF BibTeX XML Cite \textit{C.-Y. Chang} et al., J. Stat. Comput. Simulation 82, No. 1, 19--39 (2012; Zbl 1431.62470) Full Text: DOI
Su, En-Der; Lin, Feng-Jeng Two-state volatility transition pricing and hedging of TXO options. (English) Zbl 1242.91220 Comput. Econ. 39, No. 3, 259-287 (2012). MSC: 91G70 91G20 PDF BibTeX XML Cite \textit{E.-D. Su} and \textit{F.-J. Lin}, Comput. Econ. 39, No. 3, 259--287 (2012; Zbl 1242.91220) Full Text: DOI
Takahashi, Katsuyuki; Shoji, Isao An empirical analysis of the volatility of the Japanese stock price index: a non-parametric approach. (English) Zbl 1217.91213 J. Appl. Stat. 38, No. 7, 1381-1394 (2011). MSC: 91G70 62P05 PDF BibTeX XML Cite \textit{K. Takahashi} and \textit{I. Shoji}, J. Appl. Stat. 38, No. 7, 1381--1394 (2011; Zbl 1217.91213) Full Text: DOI
Chang, Yoosoon; Miller, J. Isaac; Park, Joon Y. Extracting a common stochastic trend: theory with some applications. (English) Zbl 1429.62655 J. Econom. 150, No. 2, 231-247 (2009). MSC: 62P20 62M10 62F10 62E20 62M20 62P05 PDF BibTeX XML Cite \textit{Y. Chang} et al., J. Econom. 150, No. 2, 231--247 (2009; Zbl 1429.62655) Full Text: DOI
Li, Ming-Yuan Leon The dynamics of the relationship between spot and futures markets under high and low variance regimes. (English) Zbl 1224.91159 Appl. Stoch. Models Bus. Ind. 25, No. 6, 696-718 (2009). Reviewer: A. D. Borisenko (Kyïv) MSC: 91G20 91G70 PDF BibTeX XML Cite \textit{M.-Y. L. Li}, Appl. Stoch. Models Bus. Ind. 25, No. 6, 696--718 (2009; Zbl 1224.91159) Full Text: DOI
Li, Ming-Yuan Leon Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test. (English) Zbl 1168.62097 Math. Comput. Simul. 79, No. 10, 3076-3088 (2009). MSC: 62P05 91B28 62M10 60J20 PDF BibTeX XML Cite \textit{M.-Y. L. Li}, Math. Comput. Simul. 79, No. 10, 3076--3088 (2009; Zbl 1168.62097) Full Text: DOI
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco Periodic long-memory GARCH models. (English) Zbl 1161.62054 Econ. Rev. 28, No. 1-3, 60-82 (2009). MSC: 62M10 62P05 65C05 PDF BibTeX XML Cite \textit{S. Bordignon} et al., Econ. Rev. 28, No. 1--3, 60--82 (2009; Zbl 1161.62054) Full Text: DOI
Aloui, Chaker Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period. (English) Zbl 1154.91607 Quant. Finance 7, No. 6, 669-685 (2007). MSC: 91B84 PDF BibTeX XML Cite \textit{C. Aloui}, Quant. Finance 7, No. 6, 669--685 (2007; Zbl 1154.91607) Full Text: DOI
Platen, Eckhard Modeling the volatility and expected value of a diversified world index. (English) Zbl 1107.91313 Int. J. Theor. Appl. Finance 7, No. 4, 511-529 (2004). MSC: 91B24 60G30 62P20 PDF BibTeX XML Cite \textit{E. Platen}, Int. J. Theor. Appl. Finance 7, No. 4, 511--529 (2004; Zbl 1107.91313) Full Text: DOI
Kaizoji, Taisei; Kaizoji, Michiyo Empirical laws of a stock price index and a stochastic model. (English) Zbl 1100.91568 Adv. Complex Syst. 6, No. 3, 303-312 (2003). MSC: 91B82 91B28 91B70 PDF BibTeX XML Cite \textit{T. Kaizoji} and \textit{M. Kaizoji}, Adv. Complex Syst. 6, No. 3, 303--312 (2003; Zbl 1100.91568) Full Text: DOI
Capobianco, Enrico Multiresolution approximation for volatility processes. (English) Zbl 1405.91690 Quant. Finance 2, No. 2, 91-110 (2002). MSC: 91G60 65T60 62P05 62M10 PDF BibTeX XML Cite \textit{E. Capobianco}, Quant. Finance 2, No. 2, 91--110 (2002; Zbl 1405.91690) Full Text: DOI
Blair, Bevan J.; Poon, Ser-Huang; Taylor, Stephen J. Forecasting S&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns. (English) Zbl 0980.62097 J. Econom. 105, No. 1, 5-26 (2001). MSC: 62P05 91B84 62M20 91B28 PDF BibTeX XML Cite \textit{B. J. Blair} et al., J. Econom. 105, No. 1, 5--26 (2001; Zbl 0980.62097) Full Text: DOI
Bates, David S. Post-’87 crash fears in the S&P 500 futures option market. (English) Zbl 0942.62118 J. Econom. 94, No. 1-2, 181-238 (2000). MSC: 62P05 91B28 62P20 PDF BibTeX XML Cite \textit{D. S. Bates}, J. Econom. 94, No. 1--2, 181--238 (2000; Zbl 0942.62118) Full Text: DOI
Booth, G. Geoffrey; Chowdhury, Mustafa; Martikainen, Teppo; Tse, Yiuman Intradary volatality in international stock index futures markets: Meteor showers or heat waves? (English) Zbl 0902.90004 Manage. Sci. 43, No. 11, 1564-1576 (1997). MSC: 91B28 91B82 PDF BibTeX XML Cite \textit{G. G. Booth} et al., Manage. Sci. 43, No. 11, 1564--1576 (1997; Zbl 0902.90004) Full Text: DOI
Pesaran, M. Hashem (ed.); Potter, Simon M. (ed.) Nonlinear dynamics, chaos and econometrics.Special publ. of the Journal of Applied Econometrics 7, Suppl. (1992). Special publ. of the Journal of Applied Econometrics 7, Suppl. (1992). (English) Zbl 0780.62103 Chichester: John Wiley & Sons. xiii, 244 p. (1993). MSC: 62P20 62-06 91B84 00B15 62M10 90-06 PDF BibTeX XML Cite \textit{M. H. Pesaran} (ed.) and \textit{S. M. Potter} (ed.), Nonlinear dynamics, chaos and econometrics. Special publ. of the Journal of Applied Econometrics 7, Suppl. (1992). Special publ. of the Journal of Applied Econometrics 7, Suppl. (1992). Chichester: John Wiley \& Sons (1993; Zbl 0780.62103)