Forecasting Volatility With Spot Index and Index Futures: Evidence From Taiwan

Journal of Accounting and Finance ◽

10.33423/jaf.v21i2.4238 ◽

2021 ◽

Vol 21 (2) ◽

Keyword(s):

Index Futures ◽

Forecasting Volatility

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Using neural networks for forecasting volatility of S&P 500 Index futures prices

Journal of Business Research ◽

10.1016/s0148-2963(03)00043-2 ◽

2004 ◽

Vol 57 (10) ◽

pp. 1116-1125 ◽

Cited By ~ 91

Author(s):

Shaikh A. Hamid ◽

Zahid Iqbal

Keyword(s):

Neural Networks ◽

Futures Prices ◽

Index Futures ◽

Forecasting Volatility

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Stock Index Futures Trading and Volatility in International Equity Markets

CFA Digest ◽

10.2469/dig.v31.n1.832 ◽

2001 ◽

Vol 31 (1) ◽

pp. 71-72

Author(s):

William H. Sackley

Keyword(s):

Equity Markets ◽

Stock Index ◽

Stock Index Futures ◽

Futures Trading ◽

Index Futures ◽

International Equity Markets ◽

International Equity

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Volatility and Trading Demands in Stock Index Futures

CFA Digest ◽

10.2469/dig.v33.n3.1742 ◽

2003 ◽

Vol 33 (3) ◽

pp. 101-102

Author(s):

Frank T. Magiera

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures

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How the Stock Market Can Learn to Live with Index Futures and Options

Financial Analysts Journal ◽

10.2469/faj.v43.n5.33 ◽

1987 ◽

Vol 43 (5) ◽

pp. 33-39 ◽

Cited By ~ 3

Author(s):

Arnold Kling

Keyword(s):

Stock Market ◽

Index Futures ◽

Futures And Options

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CVaR value research on portfolios of stock that contain index futures based on time-varying-copula-GARCH model

Industrial Electronics and Engineering ◽

10.2495/iciee140551 ◽

2014 ◽

Author(s):

Yue Ding ◽

Xiaoxi Li ◽

Chuanglian Chen

Keyword(s):

Garch Model ◽

Time Varying ◽

Index Futures

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Index Arbitrage and the Pricing Relationship between Australian Stock Index Futures and Their Underlying Shares

SSRN Electronic Journal ◽

10.2139/ssrn.1252643 ◽

2008 ◽

Cited By ~ 1

Author(s):

James Richard Cummings ◽

Alex Frino

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Index Arbitrage

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Long Memory and Periodicity in Intraday Volatility of Stock Index Futures

SSRN Electronic Journal ◽

10.2139/ssrn.1460625 ◽

2009 ◽

Cited By ~ 1

Author(s):

Eduardo Rossi ◽

Dean Fantazzini

Keyword(s):

Long Memory ◽

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Intraday Volatility

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The Liquidity and Volatility Impacts of Day Trading by Individuals in the Taiwan Index Futures Market

SSRN Electronic Journal ◽

10.2139/ssrn.2126526 ◽

2012 ◽

Author(s):

Robin K. Chou ◽

George H. K. Wang ◽

Yun-Yi Wang

Keyword(s):

Futures Market ◽

Index Futures ◽

Day Trading

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Manipulation Prevention and Hedging Effectiveness: Optimal Settlement Window Design for CSI 300 Stock Index Futures

SSRN Electronic Journal ◽

10.2139/ssrn.2223590 ◽

2013 ◽

Author(s):

Rui Luo ◽

Jun Song

Keyword(s):

Stock Index ◽

Stock Index Futures ◽

Index Futures ◽

Hedging Effectiveness ◽

Window Design

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Dislocations in World Index Futures

SSRN Electronic Journal ◽

10.2139/ssrn.2325373 ◽

2013 ◽

Author(s):

Gonzalo Cortazar ◽

Lorenzo Naranjo ◽

Enrique Sepulveda ◽

Carmen Stefanescu

Keyword(s):

Index Futures

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