Research graph
References from The impact of energy derivatives on the crude oil market. Local targets link to admitted publications; unresolved targets remain external evidence.
Unresolved reference
External reference
Unresolved reference
External reference
Heteroskedasticity and auto correlation consistent covariance matrix estimation
10.2307/2938229 · 1991 · External reference
Futures-trading activity and stock price volatility
10.2307/2329008 · 1992 · External reference
Price volatility, trading volume, and market depth: Evidence from futures markets
10.2307/2331149 · 1993 · External reference
A subordinated stochastic process model with finite variance for speculative prices
10.2307/1913889 · 1973 · External reference
The price effect of option introduction
10.2307/2328601 · 1989 · External reference
Futures trading and market information
10.1086/260509 · 1976 · External reference
10.1016/0378-4266(91)90090-9
10.1016/0378-4266(91)90090-9 · External reference
The effects of derivative securities on the markets for the underlying assets in the United States: A survey
1992 · External reference
Information, futures prices, and stabilizing speculation
10.1016/0022-0531(78)90124-2 · 1978 · External reference
Option listing and stock returns: An empirical analysis
10.1016/0378-4266(90)90076-e · 1990 · External reference
A general equilibrium analysis of option and stock market interactions
10.2307/2526876 · 1991 · External reference
Futures trading and cash market volatility: Stock index and interest rate futures
10.1002/fut.3990080404 · 1988 · External reference
Information and volatility linkages in the stock, bond, and money markets
10.1016/s0304-405x(98)00019-1 · 1998 · External reference
Unresolved reference
External reference
Continuous record asymptotics for rolling sample variance estimators
10.2307/2171927 · 1996 · External reference
Expected stock returns and volatility
10.1016/0304-405x(87)90026-2 · 1987 · External reference
An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies
10.1086/296433 · 1988 · External reference
Changes in the financial market: Welfare and price effects and the basic theorems of value conservation
10.2307/2327761 · 1982 · External reference
Unresolved reference
External reference
Large sample properties of generalized method of moments estimators
10.2307/1912775 · 1982 · External reference
S&P 500 cash stock price volatilities
10.2307/2328637 · 1989 · External reference
Multivariate stochastic variance models
10.2307/2297980 · 1994 · External reference
The impact of options trading on the market quality of the underlying security: An empirical analysis
10.1111/0022-1082.285595 · 1998 · External reference
Conditional heteroskedasticity in asset returns: A new approach
10.2307/2938260 · 1991 · External reference
Unresolved reference
External reference
The persistence of volatility and stock market fluctuations
1986 · External reference
Does futures trading reduce price fluctuations in the cash markets?
1970 · External reference
Options and efficiency
10.2307/1886087 · 1976 · External reference
Information and volatility: The no-arbitrage martingale approach to timing and resolution irrelevancy
10.2307/2328272 · 1989 · External reference
Why does stock market volatility change over time?
10.2307/2328636 · 1989 · External reference
Stock volatility and the crash of '87
10.1093/rfs/3.1.77 · 1990 · External reference
Options markets and stock return volatility
10.1016/0304-405x(89)90005-6 · 1989 · External reference
Options markets and the information content of accounting earnings releases
10.1016/0165-4101(90)90031-x · 1990 · External reference
Informational externalities and welfare-reducing speculation
10.1086/261508 · 1987 · External reference
Unresolved reference
External reference
The price variability-volume relationship on speculative markets
10.2307/1912002 · 1983 · External reference
Modelling stochastic volatility: A review and comparative study
10.1111/j.1467-9965.1994.tb00057.x · 1994 · External reference
The influence of futures trading on cash cattle price variations
1974 · External reference
Price effects of futures trading
1960 · External reference
