Relative informational efficiency of cash, futures, and options markets: The case of an emerging market

Large Sample Properties of Generalized Method of Moments Estimators

Lars Peter Hansen · Econometrica · 1982 · 13.7K citations

Large Sample Properties, Engineering, Estimation Statistic +4

A STATISTICAL PARADOX

D. V. Lindley · Biometrika · 1957 · 931 citations

Statistical Review, Engineering, Statistical Thinking +14

The Dynamics of Stock Index and Stock Index Futures Returns

Hans R. Stoll, Robert E. Whaley · Journal of Financial and Quantitative Analysis · 1990 · 835 citations

Intraday Returns, Economics, Volatility Modeling +8

A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market

Kalok Chan · Review of Financial Studies · 1992 · 657 citations

Intraday Lead–lag Relation, Time Series Econometrics, Cash Index +16

Multivariate tests of financial models

Michael R. Gibbons · Journal of Financial Economics · 1982 · 623 citations

Economics, Multivariate Tests, Asset Pricing +5