1. The volatility-liquidity dynamics of single-stock ETFs. (2024). Nguyen, Vinh Huy ; Zhao, LE ; Li, Chen.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011929.

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2. Efficiency of Indian Equity Futures Market—An Empirical Analysis with reference to National Stock Exchange. (2023). Chakraborty, Tanupa ; Roy, Partha Sarathi.
   In: Global Business Review.
   RePEc:sae:globus:v:24:y:2023:i:6:p:1326-1352.

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3. Can the introduction of stock index futures stabilize the volatility of the stock market? Evidence from the Chinese stock market. (2023). Gu, Rongbao ; Yang, Linshan ; Liu, Shengnan.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:85:y:2023:i:c:p:44-58.

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4. Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China. (2022). Zhu, Zhican ; Li, Xupei ; Jian, Zhihong.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002242.

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7. Investor sentiment?styled index in index futures market. (2021). Liu, Wenwen.
   In: Review of Financial Economics.
   RePEc:wly:revfec:v:39:y:2021:i:1:p:51-72.

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8. The Cross-Border Price Discovery and the Shanghai-Hong Kong Stock Connect. (2021). Lee, Yen-Hsien ; Chiang, Kuan-Yi ; Chun-I Lin, .
   In: Advances in Management and Applied Economics.
   RePEc:spt:admaec:v:11:y:2021:i:3:f:11_3_2.

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9. Bayesian Analysis of Intraday Stochastic Volatility Models of High-Frequency Stock Returns with Skew Heavy-Tailed Errors. (2021). Nakatsuma, Teruo ; Nakakita, Makoto.
   In: JRFM.
   RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:145-:d:525747.

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10. Political uncertainty, COVID-19 pandemic and stock market volatility transmission. (2021). Wohar, Mark ; Gkillas, Konstantinos ; Floros, Christos ; Apostolakis, George N.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001025.

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11. Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models. (2020). Salvador, Enrique ; Arago, Vicent ; Alemany, Nuria.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:68:y:2020:i:c:p:269-280.

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12. Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188.

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13. Do sharp movements in oil prices matter for stock markets?. (2020). Huang, Paoyu ; Day, Min-Yuh ; Wu, Manhwa ; Ni, Yensen.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316280.

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14. Does Crude Oil Prices have Effect on Exports, Imports and GDP on BRICS Countries? - An Empirical Evidence. (2020). Raju, Guntur Anjana ; Marathe, Shripad Ramchandra.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2020-06-67.

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15. Price Risks and the Lead-Lag Relationship between the Futures and Spot Prices of Soybean, Wheat and Corn. (2020). Mu, Yueying ; Koike, Atsushi ; Liu, Kai.
    In: Asian Journal of Economic Modelling.
    RePEc:asi:ajemod:2020:p:76-88.

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19. The evolution of price discovery in us equity and derivatives markets. (2019). Lian, Guanhua ; Kalev, Petko S ; Wallace, Damien.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1122-1136.

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20. Движение цен на спотовых и фьючерсных рынках: Подтверждение индексами S&P CNX NIFTY // Price movements in futures and spot markets: Evidence. (2019). К. Прадхам Ч., ; Kailash, C.
    In: Вестник исследований бизнеса и экономики // Review of Business and Economics Studies.
    RePEc:scn:00rbes:y:2017:i:1:p:32-41.

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21. Cross-Asset Market Order Flow, Liquidity, and Price Discovery. (2019). Paddrik, Mark ; Jain, Pankaj ; Garrison, Robert.
    In: Working Papers.
    RePEc:ofr:wpaper:19-04.

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22. Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective. (2019). Athaley, Chaitaly ; Rastogi, Shailesh.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:98-:d:238426.

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23. The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets. (2019). Gross, Christian ; Souza, Waldemar ; Bohl, Martin T.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:60:y:2019:i:c:p:203-215.

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24. Downside jump risk and the levels of futures-cash basis. (2019). Chen, Chin-Ho.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19300745.

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25. Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach. (2019). Wen, Fenghua ; Li, Steven ; Hou, Yang.
    In: Energy Economics.
    RePEc:eee:eneeco:v:83:y:2019:i:c:p:119-143.

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26. Do investors use options and futures to trade on different types of information? Evidence from an aggregate stock index. (2018). Dixon, Peter ; Bae, Kyounga Hun.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:38:y:2018:i:2:p:175-198.

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27. Shock and Volatility Spillovers Among Equity Sectors of the National Stock Exchange in India. (2018). Majumder, Sayantan.
    In: Global Business Review.
    RePEc:sae:globus:v:19:y:2018:i:1:p:227-240.

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28. The Issues and Implications About the Volatility of the Stock and the Bond Prices and Their Returns and the Volatility of Interest Rates and Inflation - Which Are Being Researched in Finance and Macro. (2018). Paul, Muthucattu Thomas .
    In: Applied Economics and Finance.
    RePEc:rfa:aefjnl:v:5:y:2018:i:2:p:125-142.

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29. The Impact of Restrictive Measures on the Price Discovery Function of Stock Index Futures ¨C Evidence From CSI 500 Stock Index Futures. (2018). Wu, Maoguo ; Zhu, Zhehao.
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:9:y:2018:i:4:p:117-125.

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30. Information transmission across stock indices and stock index futures: International evidence using wavelet framework. (2018). Aloui, Chaker ; Yarovaya, Larisa ; Keung, Marco Chi ; Hkiri, Besma.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:44:y:2018:i:c:p:411-421.

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31. Relationships between Chinese stock market and its index futures market: Evaluating the impact of QFII scheme. (2018). Ahmed, Abdullahi ; Huo, Rui.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:44:y:2018:i:c:p:135-152.

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32. Something in the air: Information density, news surprises, and price jumps. (2018). Füss, Roland ; Stein, Michael ; Mager, Ferdinand ; Grabellus, Markus ; Fuss, Roland ; ROLAND FÜSS, .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:53:y:2018:i:c:p:50-75.

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33. The cross-sectional spillovers of single stock circuit breakers. (2018). LINTON, OLIVER ; Pedace, Lucas ; Noss, Joseph ; Brugler, James .
    In: Bank of England working papers.
    RePEc:boe:boeewp:0759.

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37. Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash. (2017). Nartea, Gilbert ; Hou, Yang.
    In: MPRA Paper.
    RePEc:pra:mprapa:81995.

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38. Stock return autocorrelation, day of the week and volatility: An empirical investigation on the Saudi Arabian stock market. (2017). Chowdhury, Shah Saeed ; Sadique, Shibley M ; Rahman, Arifur M ; Hassan, Shah Saeed .
    In: Review of Accounting and Finance.
    RePEc:eme:rafpps:raf-12-2014-0146.

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39. Dynamic correlations and domestic-global diversification. (2017). Li, Leon.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pa:p:280-290.

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40. Modeling and predicting historical volatility in exchange rate markets. (2017). Lahmiri, Salim.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:471:y:2017:i:c:p:387-395.

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41. Role of index futures on Chinas stock markets: Evidence from price discovery and volatility spillover. (2017). Yang, Dongxiao ; Miao, Hong ; Ramchander, Sanjay ; Wang, Tianyang.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:44:y:2017:i:c:p:13-26.

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42. .

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43. How Crashes Develop: Intradaily Volatility and Crash Evolution. (2016). Bates, David S.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22028.

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44. On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?. (2016). Olmo, Jose ; Fuertes, Ana-Maria.
    In: JRFM.
    RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:10-:d:77912.

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45. Correlation between agricultural markets in dynamic perspective—Evidence from China and the US futures markets. (2016). Li, Sai-Ping ; Tu, Jing-Qing ; Wang, Dong-Hua ; Jia, Rui-Lin .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:464:y:2016:i:c:p:83-92.

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46. Dynamic spillover effects in futures markets: UK and US evidence. (2016). Floros, Christos ; Antonakakis, Nikolaos ; Kizys, Renatas.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:48:y:2016:i:c:p:406-418.

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47. The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets. (2016). Gross, Christian ; Souza, Waldemar ; Bohl, Martin T.
    In: CQE Working Papers.
    RePEc:cqe:wpaper:5116.

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48. Dynamic Interactions between Foreign Institutional Investment Flows and Stock Market Returns – The Case of India. (2015). Gandhi, Shailesh ; Dhingra, Vaishali Samir ; Bulsara, Hemantkumar P.
    In: Contemporary Economics.
    RePEc:wyz:journl:id:399.

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49. Behaviour of Stock Return Autocorrelation in the GCC Stock Markets. (2015). Chowdhury, Shah Saeed ; Hassan, Shah Saeed ; Sadique, Shibley M ; Rahman, Arifur M.
    In: Global Business Review.
    RePEc:sae:globus:v:16:y:2015:i:5:p:737-746.

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50. An investigation of price discovery and volatility spillovers in India’s foreign exchange market. (2015). Deisting, Florent ; Ahmad, Wasim ; Sehgal, Sanjay.
    In: Journal of Economic Studies.
    RePEc:eme:jespps:v:42:y:2015:i:2:p:261-284.

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51. Cash-futures basis and the impact of market maturity, informed trading, and expiration effects. (2015). Chang, Charles ; Lin, Emily.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:35:y:2015:i:c:p:197-213.

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52. Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange. (2015). Emmanouilides, Christos ; Anagnostidis, Panagiotis .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:421:y:2015:i:c:p:473-487.

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53. Hedging China’s energy oil market risks. (2014). Zhang, Zhe ; Tan, NA ; Lau, Marco .
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:4:y:2014:i:1:p:99-112.

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54. N-tuple S&P patterns across decades, 1950–2011. (2014). Malliaris, Anastasios.
    In: Central European Journal of Operations Research.
    RePEc:spr:cejnor:v:22:y:2014:i:2:p:339-353.

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55. Dynamic Spillover Effects in Futures Markets. (2014). Floros, Christos ; Antonakakis, Nikolaos ; Kizys, Renatas.
    In: MPRA Paper.
    RePEc:pra:mprapa:53876.

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56. Cross-Market Spillovers with Volatility Surprise. (2014). Chevallier, Julien ; Aboura, Sofiane.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-469.

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57. Cross-Market Spillovers with Volatility Surprise. (2014). Chevallier, Julien ; Aboura, Sofiane.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01052488.

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58. Cross-Market Spillovers with ‘Volatility Surprise’. (2014). Chevallier, Julien ; Aboura, Sofiane.
    In: Working Papers.
    RePEc:hal:wpaper:hal-04141310.

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59. Cross-Market Spillovers with ‘Volatility Surprise’. (2014). Chevallier, Julien ; Aboura, Sofiane.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2014-46.

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60. Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE. (2013). Çevik, Emrah ; Okur, Mustafa .
    In: MPRA Paper.
    RePEc:pra:mprapa:71477.

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61. Hedging China’s Energy Oil Market Risks. (2013). Lau, Chi Keung ; Lau, Chi Keung Marco, ; Tan, NA.
    In: MPRA Paper.
    RePEc:pra:mprapa:47134.

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62. Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data. (2013). Hou, Yang ; Li, Steven.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:20:y:2013:i:1:p:49-70.

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63. Volatility and return spillovers in Canadian and U.S. industry ETFs. (2013). Krause, Timothy ; Tse, Yiuman.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:25:y:2013:i:c:p:244-259.

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64. Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market. (2013). Yoon, Seong-Min ; Cheong, Chongcheul ; Kang, Sang Hoon.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:8:p:1795-1802.

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65. Are stock markets in Asia related to carry trade?. (2013). Fung, Hung-Gay ; Tse, Yiuman ; Zhao, Lin.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:25:y:2013:i:c:p:200-216.

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66. Overnight stock returns and realized volatility. (2013). Lanne, Markku ; Ahoniemi, Katja .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:29:y:2013:i:4:p:592-604.

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67. Informational role of market makers: The case of exchange traded CFDs. (2013). Yang, Jin Young ; Lepone, Andrew.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:23:y:2013:i:c:p:84-92.

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68. A 10 min tick volatility analysis between the Ibovespa and the S&P500. (2013). Da costa, Alexandre Silva ; Ceretta, Paulo Sergio ; Righi, Marcelo Brutti ; Muller, Fernanda Maria .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-13-00459.

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69. Does Index Speculation Impact Commodity Prices? An Intraday Analysis. (2013). Williams, Michael R. ; Tse, Yiuman.
    In: The Financial Review.
    RePEc:bla:finrev:v:48:y:2013:i:3:p:365-383.

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70. Volatility Spillovers and Nonlinear Dynamics between Jet Fuel Prices and Air Carrier Revenue Passenger Miles in the US. (2013). Adrangi, Bahram ; Gritta, Richard D. ; Raffiee, Kambiz .
    In: Review of Economics & Finance.
    RePEc:bap:journl:130301.

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71. Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets. (2012). Subeniotis, Demetres N. ; Kroustalis, Ioannis G. ; Tampakoudis, Ioannis A..
    In: International Journal of Trade and Global Markets.
    RePEc:ids:ijtrgm:v:5:y:2012:i:3/4:p:171-194.

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72. Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis. (2012). Rittler, Daniel .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:3:p:774-785.

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73. Commodity volatility breaks. (2012). Wohar, Mark ; Vivian, Andrew.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:2:p:395-422.

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74. The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility. (2012). Chuang, Wen-I, ; Susmel, Rauli ; Liu, Hsiang-Hsi.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:23:y:2012:i:1:p:1-15.

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75. Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis. (2012). Green, Christopher ; Tao, Juan .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:24:y:2012:i:c:p:26-37.

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76. Does Index Speculation Impact Commodity Prices? An Intraday Futures Analysis Using intraday data, we find that unidirectional causality runs from commodity index linked commodity futures to non-index . (2011). Williams, Michael ; Tse, Yiuman.
    In: Working Papers.
    RePEc:tsa:wpaper:0025fin.

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77. The Relationship between Currency Carry Trades and U.S. Stocks The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September . (2011). Zhao, Lin ; Tse, Yiuman.
    In: Working Papers.
    RePEc:tsa:wpaper:0020fin.

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78. Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market. (2011). P, Srinivasan ; P., Srinivasan, .
    In: MPRA Paper.
    RePEc:pra:mprapa:47412.

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79. Information transmission in informationally linked markets: Evidence from US and Chinese commodity futures markets. (2011). Liu, Qingfu ; An, Yunbi.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:30:y:2011:i:5:p:778-795.

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80. A reduced form framework for modeling volatility of speculative prices based on realized variation measures. (2011). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:176-189.

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81. Exchange Rates and Inflation Rates: Exploring Nonlinear Relationships. (2011). Adrangi, Bahram ; Allender, Mary E. ; Raffiee, Kambiz .
    In: Review of Economics & Finance.
    RePEc:bap:journl:110201.

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82. An analysis of the spillover effects of exchange-traded funds. (2010). C. -Y. Huang, ; J. -H. Chen, ; C.-Y. Huang, .
    In: Applied Economics.
    RePEc:taf:applec:v:42:y:2010:i:9:p:1155-1168.

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83. Price discovery in the Indian gold futures market. (2010). Chaihetphon, Piyamas ; Pavabutr, Pantisa.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:34:y:2010:i:4:p:455-467.

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84. An analysis of Australian exchange traded options and warrants. (2010). Michayluk, David ; Bertin, William ; Fowler, Paul ; Prather, Laurie.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:34:y:2010:i:2:p:150-172.

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85. Shock and Volatility Transmission in the Futures and Spot Markets: Evidence from Turkish Markets. (2010). Tokat, Ekin .
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:46:y:2010:i:4:p:92-104.

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86. The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and Wheat. (2010). Perales, Guillermo Benavides .
    In: Ensayos Revista de Economia.
    RePEc:ere:journl:v:xxix:y:2010:i:1:p:1-22.

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87. Information transmission between small and large stocks in the National Stock Exchange in India: An empirical study. (2010). Karmakar, Madhusudan .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:50:y:2010:i:1:p:110-120.

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88. Positive feedback trading in stock index futures: International evidence. (2010). Salm, Christian A. ; Schuppli, Michael .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:19:y:2010:i:5:p:313-322.

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89. Realized volatility and overnight returns. (2010). Lanne, Markku ; Ahoniemi, Katja .
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2010_019.

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90. THE LEAD-LAG RELATION BETWEEN THE S&P500 SPOT AND FUTURES MARKETS: AN INTRADAY-DATA ANALYSIS USING A THRESHOLD REGRESSION MODEL. (2010). Chan, Wai-Sum ; Tse, Yiu-Kuen.
    In: The Japanese Economic Review.
    RePEc:bla:jecrev:v:61:y:2010:i:1:p:133-144.

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91. Business Cycles and Net Buying Pressure in the S&P 500 Futures Options. (2010). Chan, Kam C ; Lung, Peter P ; Chen, Carl R.
    In: European Financial Management.
    RePEc:bla:eufman:v:16:y:2010:i:4:p:624-657.

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92. The dynamics of the relationship between spot and futures markets under high and low variance regimes. (2009). LI, MINGYUAN LEON .
    In: Applied Stochastic Models in Business and Industry.
    RePEc:wly:apsmbi:v:25:y:2009:i:6:p:696-718.

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93. Price reversals versus price continuations: the transitory price effects of futures trading extension on the underlying stock market. (2009). Chan, Yue-Cheong ; Cheng, Louis.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:33:y:2009:i:2:p:159-176.

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94. Volatility Spreads and Expected Stock Returns. (2009). Hovakimian, Armen ; Bali, Turan G..
    In: Management Science.
    RePEc:inm:ormnsc:v:55:y:2009:i:11:p:1797-1812.

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95. International stock markets interactions and conditional correlations. (2009). Savva, Christos.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:4:p:645-661.

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96. Information transmission and market interactions across the Atlantic -- an empirical study on the natural gas market. (2009). Kao, Chung-Wei ; Wan, Jer-Yuh .
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:1:p:152-161.

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97. CHANGE IN VOLATILITY REGIMES AND DIVERSIFICATION IN EMERGING STOCK MARKETS. (2009). Li, Leon.
    In: South African Journal of Economics.
    RePEc:bla:sajeco:v:77:y:2009:i:1:p:59-80.

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98. An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach. (2008). Roca, Eduardo ; Wong, Victor .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:18:y:2008:i:7:p:583-597.

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99. Foreign investment, regulation, volatility spillovers between the futures and spot markets: evidence from Taiwan. (2008). Hsu, Hsinan ; Kuo, Wen-Hsiu ; Chiang, Min-Hsien .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:18:y:2008:i:5:p:421-430.

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100. The dynamics of volatility transmission and information flow between ADRs and their underlying stocks. (2008). Aquino, Katty Perez ; Poshakwale, Sunil S..
     In: Global Finance Journal.
     RePEc:eee:glofin:v:19:y:2008:i:2:p:187-201.

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101. The Lead-Lag Relationship Between Cash and Stock Index Futures in a New Market. (2008). VISVIKIS, ILIAS ; Kavussanos, Manolis ; Alexakis, Panayotis D..
     In: European Financial Management.
     RePEc:bla:eufman:v:14:y:2008:i:5:p:1007-1025.

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102. Medium‐term horizon volatility forecasting: A comparative study. (2007). Date, Paresh ; Hawkes, Richard.
     In: Applied Stochastic Models in Business and Industry.
     RePEc:wly:apsmbi:v:23:y:2007:i:6:p:465-481.

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103. Volatility Transmission in the Real Estate Spot and Forward Markets. (2007). Wong, S. ; Chau, K. ; Yiu, C..
     In: The Journal of Real Estate Finance and Economics.
     RePEc:kap:jrefec:v:35:y:2007:i:3:p:281-293.

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104. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures. (2007). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
     In: CREATES Research Papers.
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105. America and the Swiss Stock Exchange: An Intraday Analysis. (2006). Loderer, Claudio ; Mittermayer, Marc-Andre.
     In: Swiss Journal of Economics and Statistics (SJES).
     RePEc:ses:arsjes:2006-i-3.

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106. Multi-market trading in the Eurodollar futures market. (2006). Tse, Yiuman ; Bandyopadhyay, Paramita.
     In: Review of Quantitative Finance and Accounting.
     RePEc:kap:rqfnac:v:26:y:2006:i:3:p:321-341.

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107. Predicting bubbles. (2006). HICKSON, CHARLES R. ; Thompson, Earl A..
     In: Global Business and Economics Review.
     RePEc:ids:gbusec:v:8:y:2006:i:3/4:p:217-246.

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108. An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets. (2006). Kim, Byung Chun ; Oh, SeungYoung ; Nam, Seung Oh .
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:15:y:2006:i:4-5:p:398-414.

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109. Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis. (2006). Iori, Giulia ; Mattiussi, V..
     In: Working Papers.
     RePEc:cty:dpaper:06/09.

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110. Effects of electronic trading on the Hang Seng Index futures market. (2005). Tse, Y. K. ; Lien, Donald ; Fung, Joseph K. W., .
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:14:y:2005:i:4:p:415-425.

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111. Who trades in the stock index futures market when the underlying cash market is not trading?. (2005). Chan, Yue-Cheong .
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:13:y:2005:i:5:p:547-561.

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112. Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets. (2005). gannon, gerard.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:14:y:2005:i:3:p:326-336.

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113. The trading dynamics of close-substitute futures markets: evidence of margin policy spillover effects. (2004). Chng, Michael T., .
     In: Journal of Multinational Financial Management.
     RePEc:eee:mulfin:v:14:y:2004:i:4-5:p:463-483.

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114. Market interactions in returns and volatilities between spot and forward shipping freight markets. (2004). VISVIKIS, ILIAS ; Kavussanos, Manolis.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:28:y:2004:i:8:p:2015-2049.

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115. Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico. (2004). Darrat, Ali F. ; Otero, Rafael ; Zhong, Maosen.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:28:y:2004:i:12:p:3037-3054.

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116. The generality of spurious predictability. (2004). Singh, Rajdeep ; Shin, Jhinyoung ; Cho, Jin-Wan .
     In: Finance Research Letters.
     RePEc:eee:finlet:v:1:y:2004:i:4:p:203-214.

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117. Predicting Bubbles and Bubbles-Substitutes. (2004). Treussard, Jonathan ; HICKSON, CHARLES R. ; Thompson, Earl A..
     In: UCLA Economics Working Papers.
     RePEc:cla:uclawp:836.

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118. What explains the difference between the futures price and its fair value? Evidence from the Euronext Amsterdam. (2003). Kabir, Rezaul ; Berglund, T..
     In: Other publications TiSEM.
     RePEc:tiu:tiutis:ec81c70e-739d-4b03-be66-2d9f81800300.

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119. The link between monetary policy and stock and bond markets: evidence from the federal funds futures contract. (2003). Gulley, O ; Sultan, Jahangir .
     In: Applied Financial Economics.
     RePEc:taf:apfiec:v:13:y:2003:i:3:p:199-209.

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120. Exchange rate regimes and stock return volatility: some evidence from Asias silver era. (2003). Mao, Connie X. ; Bailey, Warren ; Zhong, Rui.
     In: Journal of Economics and Business.
     RePEc:eee:jebusi:v:55:y:2003:i:5-6:p:557-584.

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121. Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market. (2003). Novales, Alfonso ; Lafuente, Juan Angel.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:27:y:2003:i:6:p:1053-1078.

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122. Contemporaneous intraday volume, option, and futures volatility transmissions across parallel markets. (2003). Chng, Michael, ; gannon, gerard.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:12:y:2003:i:1:p:49-68.

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123. Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis. (2003). Pescetto, Gioia ; Antoniou, Antonios ; Violaris, Antonis.
     In: Journal of Business Finance & Accounting.
     RePEc:bla:jbfnac:v:30:y:2003:i:5-6:p:645-667.

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124. Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market. (2002). Novales, Alfonso ; Lafuente, Juan Angel.
     In: Documentos de Trabajo del ICAE.
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125. Intra-Day Features of Realized Volatility: Evidence from an Emerging Market. (2002). Stengos, Thanasis ; SaltoÄŸlu, Burak ; Kayahan, Burc ; Saltoglu, Burak .
     In: International Journal of Business and Economics.
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126. Information effect of economic news: SPI futures. (2002). Tan, Oon Geok ; gannon, gerard.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:11:y:2002:i:4:p:467-489.

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127. Volatility transmission in the oil and natural gas markets. (2002). Ewing, Bradley ; Malik, Farooq ; Ozfidan, Ozkan.
     In: Energy Economics.
     RePEc:eee:eneeco:v:24:y:2002:i:6:p:525-538.

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128. Optimal hedge ratios and alternative hedging strategies in the presence of cointegrated time-varying risks. (2001). Ah-Boon Sim, Ralf Zurbruegg, .
     In: The European Journal of Finance.
     RePEc:taf:eurjfi:v:7:y:2001:i:3:p:269-283.

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129. Information flows between non-deliverable forward (NDF) and spot markets: Evidence from Korean currency. (2001). Park, Jin Woo .
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:9:y:2001:i:4:p:363-377.

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130. Common factors in prices, order flows, and liquidity. (2001). Joel, Hasbrouck ; Seppi Duane J., ; Seppi Duane J., .
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:59:y:2001:i:3:p:383-411.

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131. Index arbitrage with heterogeneous investors: A smooth transition error correction analysis. (2001). Tse, Yiuman.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:25:y:2001:i:10:p:1829-1855.

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132. Price and volatility spillovers between interest rate and exchange value of the US dollar. (2001). So, Raymond W..
     In: Global Finance Journal.
     RePEc:eee:glofin:v:12:y:2001:i:1:p:95-107.

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133. Race to the center: competition for the Nikkei 225 futures trade. (2001). Ito, Takatoshi ; Lin, Wen-Ling .
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:8:y:2001:i:3:p:219-242.

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134. Events that shook the market. (2001). Fair, Ray C.
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135. Investigating the Reciprocal Relationships Within Health Virtual Communities. (2000). Dorantes, Carlos ; Ko, Myung ; Osei-Bryson, Kweku-Muata.
     In: Working Papers.
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136. Price discovery in strategically-linked markets: the case of the gold-silver spread. (2000). Chatrath, Arjun ; ChristieDavid, Rohan ; Adrangi, Bahram .
     In: Applied Financial Economics.
     RePEc:taf:apfiec:v:10:y:2000:i:3:p:227-234.

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137. Intraday and interday volatility in the Japanese stock market. (2000). Bollerslev, Tim ; Andersen, Torben ; Cai, Jun.
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:10:y:2000:i:2:p:107-130.

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138. Optimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures market. (2000). Lafuente, Juan A.
     In: DEE - Working Papers. Business Economics. WB.
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139. Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets. (2000). Lafuente, Juan A.
     In: DEE - Working Papers. Business Economics. WB.
     RePEc:cte:wbrepe:9849.

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140. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results. (2000). Ghysels, Eric ; Andreou, Elena.
     In: CIRANO Working Papers.
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141. TIME-VARYING VOLATILITY IN CANADIAN AND U.S. STOCK INDEX AND INDEX FUTURES MARKETS: A MULTIVARIATE ANALYSIS. (2000). Ackert, Lucy ; Racine, M. D..
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     RePEc:bla:jfnres:v:23:y:2000:i:2:p:129-143.

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142. Trading costs and price discovery across stock index futures and cash markets. (1999). Szakmary, Andrew C. ; Schwarz, Thomas V. ; Kim, Minho.
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:19:y:1999:i:4:p:475-498.

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143. Stock market automation and the transmission of information between spot and futures markets. (1999). Frino, Alex ; Brailsford, Timothy J. ; West, Andrew ; Hodgson, Allan.
     In: Journal of Multinational Financial Management.
     RePEc:eee:mulfin:v:9:y:1999:i:3-4:p:247-264.

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144. Cross-border transmission of stock price volatility: evidence from the overlapping trading hours. (1999). Jeong, Jin-Gil .
     In: Global Finance Journal.
     RePEc:eee:glofin:v:10:y:1999:i:1:p:53-70.

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145. Common Factors in Prices, Order Flows and Liquidity. (1998). Seppi, Duane J. ; Hasbrouck, Joel .
     In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
     RePEc:fth:nystfi:99-011.

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146. International transmission of information: evidence from the Euroyen and Eurodollar futures markets. (1998). Tse, Yiuman.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:17:y:1998:i:6:p:909-929.

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147. Information and volatility linkages in the stock, bond, and money markets. (1998). Kirby, Chris ; Jeff, Fleming ; Barbara, Ostdiek ; Chris, Kirby.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:49:y:1998:i:1:p:111-137.

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148. Structural models: Intra/Inter-day volatility transmission and spillover persistence of the HSI, HSIF and S&P500 futures. (1998). Choi, Daniel F. S., ; gannon, gerard.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:7:y:1998:i:1:p:19-36.

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149. Information transmission and causality in the Italian Treasury bond market. (1998). Scalia, Antonio.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:5:y:1998:i:4:p:361-384.

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150. Preisbildung am schweizerischen SMI-Futuresmarkt: Arbitrage und dynamische Preisbeziehungen. (1997). Zogg-Wetter, Claudia ; Zimmermann, Heinz.
     In: Swiss Journal of Economics and Statistics (SJES).
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151. Information Flows Between Eurodollar Spot and Futures Markets. (1997). Cheung, Yin-Wong ; Fung, Hung-Gay.
     In: Multinational Finance Journal.
     RePEc:mfj:journl:v:1:y:1997:i:4:p:255-271.

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152. Option volume and stock price behavior: Some evidence from the Chicago board options exchange. (1997). .
     In: Atlantic Economic Journal.
     RePEc:kap:atlecj:v:25:y:1997:i:4:p:358-370.

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153. High frequency data in financial markets: Issues and applications. (1997). Goodhart, Charles A. E., ; O'Hara, Maureen .
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114.

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154. Intraday periodicity and volatility persistence in financial markets. (1997). Bollerslev, Tim ; Andersen, Torben.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158.

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155. VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES. (1997). Menkveld, Albert ; Franses, Philip Hans ; leperen, Reinoud ; Kofman, Paul ; Martens, Martin .
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156. New York Stock Exchange trading halts and volatility. (1996). Fong, Wai-Ming .
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:5:y:1996:i:3:p:243-257.

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157. The impact of the listing of options in the foreign exchange market. (1996). Sultan, Dr. ; Shastri, Kuldeep ; Tandon, Kishore .
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     RePEc:eee:jimfin:v:15:y:1996:i:1:p:37-64.

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158. Price dynamics in refined petroleum spot and futures markets. (1996). Pirrong, Stephen Craig.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:2:y:1996:i:4:p:359-388.

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159. Periodic Autoregressive Conditional Heteroscedasticity.. (1996). Ghysels, Eric ; Bollerslev, Tim.
     In: Journal of Business & Economic Statistics.
     RePEc:bes:jnlbes:v:14:y:1996:i:2:p:139-51.

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160. What explains the difference between the futures price and its fair value? : evidence from the european options exchange. (1995). Kabir, Rezaul ; Berglund, T.
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161. What explains the difference between the futures price and its fair value? : evidence from the european options exchange. (1995). Kabir, Rezaul ; Berglund, T..
     In: Discussion Paper.
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162. Volatility and price change spillover effects across the developed and emerging markets. (1995). Liu, Yu-Jane ; Yang, Chau-Chen ; John Wei, K. C., ; Chaung, Guey-Shiang.
     In: Pacific-Basin Finance Journal.
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163. Economic news and equity market linkages between the U.S. and U.K.. (1995). Friedman, Joseph ; Finnerty, Joseph E. ; Becker, Kent G..
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:19:y:1995:i:7:p:1191-1210.

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164. Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets. (1993). Ito, Takatoshi ; Lin, Wen-Ling .
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165. INTRADAY TRADING PATTERNS IN THE EQUITY OPTIONS MARKETS. (1993). Aggarwal, Raj ; Gruca, Edward .
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     RePEc:bla:jfnres:v:16:y:1993:i:4:p:285-297.

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