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Volumn 34, Issue 13, 2002, Pages 1617-1626

Expiration and maturity effect: Empirical evidence from the Spanish spot and futures stock index

Author keywords

[No Author keywords available]

Indexed keywords

MARKET CONDITIONS; STOCK MARKET;

EID: 0037056105     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/00036840110111086     Document Type: Article
Times cited : (12)

References (42)
  • 13
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedacity with estimates of the variance of United Kingdom Inflation
    • (1982) Econometrica , vol.55 , pp. 987-1008
    • Engle, R.1
  • 18
    • 0001272649 scopus 로고
    • An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies
    • (1988) Journal of Business , vol.61 , pp. 275-298
    • Grossman, S.J.1
  • 32
    • 0000641348 scopus 로고
    • Conditional heteroskedasticity in asset returns: A new approach
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.B.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.