Concepedia
Journal of Futures Markets · 1995 · 64 citations · 27 references
BusinessEconomicsFinanceAsset PricingFinancial EconomicsFinancial MarketsArbitrage PricingAsset Pricing EmpiricsCapital MarketsFinancial RiskFutures MarketsMarket RiskEquity Index FuturesFutures-spot ArbitrageIndex ArbitrageIntermarket ArbitrageStock Index Futures
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations
Social Sciences, Economics, Econometrics +10
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
Richard Roll · The Journal of Finance · 1984 · 2.8K citations
Social Sciences, Economics, Finance +13
The Dynamics of Stock Index and Stock Index Futures Returns
Hans R. Stoll, Robert E. Whaley · Journal of Financial and Quantitative Analysis · 1990 · 836 citations
Business, Economics, Finance +17
A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market
Kalok Chan · Review of Financial Studies · 1992 · 660 citations
Business, Economics, Finance +10
Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices
A. Craig MacKinlay, Krishna Ramaswamy · Review of Financial Studies · 1988 · 365 citations