Intraday Lead-lag Relationships Between the Futures-, Options and Stock Market

Intraday Lead-lag Relationships Between the Futures-, Options and Stock Market
Author :
Publisher :
Total Pages : 32
Release :
ISBN-10 : OCLC:36854707
ISBN-13 :
Rating : 4/5 (07 Downloads)

Book Synopsis Intraday Lead-lag Relationships Between the Futures-, Options and Stock Market by : Frank De Jong

Download or read book Intraday Lead-lag Relationships Between the Futures-, Options and Stock Market written by Frank De Jong and published by . This book was released on 1996 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:


Intraday Lead-lag Relationships Between the Futures-, Options and Stock Market Related Books

Intraday Lead-lag Relationships Between the Futures-, Options and Stock Market
Language: en
Pages: 32
Authors: Frank De Jong
Categories: Time-series analysis
Type: BOOK - Published: 1996 - Publisher:

DOWNLOAD EBOOK

Empirical analysis of the Intraday Lead-Lag Relationship between option- and underlying stock-market
Language: de
Pages: 78
Authors: Giacomo Iacovelli
Categories:
Type: BOOK - Published: 2006 - Publisher:

DOWNLOAD EBOOK

Intraday Lead-Lag Relationship Between Stock Index and Stock Index Futures Markets
Language: en
Pages: 18
Authors: Ersan Ersoy
Categories:
Type: BOOK - Published: 2016 - Publisher:

DOWNLOAD EBOOK

In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. However, due to market imperfect
Implied Volatility in Option Prices and the Lead-Lag Relation between Stock and Option Prices
Language: en
Pages:
Authors: Hun Y. Park
Categories:
Type: BOOK - Published: 1998 - Publisher:

DOWNLOAD EBOOK

We show that if a particular lead-lag relation exists between the option and stock markets, the implied volatility in option prices can be biased depending on t
The Cross-Sectional Relationship between Trading Costs and Lead/Lag Effects in Stock & Option Markets
Language: en
Pages:
Authors: Matthew L. O'Connor
Categories:
Type: BOOK - Published: 1999 - Publisher:

DOWNLOAD EBOOK

Prior empirical research has failed to settle the question of lead/lag effects between stock and option markets. This study investigates the relation between cr