Concepedia

An empirical examination of the lead–lag relationship between spot and futures markets: Evidence from Thailand

Amrit Judge, Tipprapa Reancharoen

Pacific-Basin Finance Journal · 2014 · 55 citations · 46 references

DOIFull text

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Concepts

References

46

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.9K citations

, , +9

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Econometrica · 1981 · 14.6K citations

, , +15

MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

Søren Johansen, Katarina Jusélius · Oxford Bulletin of Economics and Statistics · 1990 · 14.1K citations

, , +6

A Simple Model of Capital Market Equilibrium with Incomplete Information

Robert C. Merton · The Journal of Finance · 1987 · 5.8K citations · Full text

, , +8

When Are Contrarian Profits Due to Stock Market Overreaction?

Andrew W. Lo, A. Craig MacKinlay · Review of Financial Studies · 1990 · 1.8K citations

, , +11