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Understanding the cost of carry in Nikkei 225 stock index futures markets: mispricing, price and volatility dynamics

机译：了解日经225个股指期货市场的套利成本：定价错误，价格和波动动态

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A Doctoral Thesis. Submitted in partial fulfilment of the requirements for the award of Doctor of Philosophy of Loughborough University.

机译：博士论文。提交，部分满足了拉夫堡大学哲学博士学位的授予条件。

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作者
Qin Jieye;
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年度 2017
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正文语种 en
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专利

1. Explaining the dynamics of the NIKKEI 225 stock and stock index futures markets by using the SETAR model [J] . Chikashi Tsuji Applied Financial Economics Letters . 2007,第1a3期

机译：使用SETAR模型解释日经225个股票和股指期货市场的动态
2. Determinants of Nikkei futures mispricing in international markets: Dividend clustering, currency risk, and transaction costs [J] . Qin Jieye, Green Christopher J., Sirichand Kavita Journal of futures markets . 2019,第10期

机译：日经指数期货在国际市场上定价错误的决定因素：股利聚集，货币风险和交易成本
3. The SIML estimation of realized volatility of the Nikkei-225Futures and hedging coefficient with micro-market noise [J] . Naoto Kunitomo, Seisho Sato Mathematics and computers in simulation . 2011,第7期

机译：带有微市场噪音的日经225期货的实现挥发性和对冲系数的SIML估计
4. The Nikkei 225 Futures of the Osaka Stock Exchange Are Bullish When the Available Liquidity on the Ask Side Is Deeper [C] . LI Meng, HUI Xiaofeng, ISHIMOTO Kazuo International conference on financial risk and corporate finance management . 2012

机译：当询问方的可用流动性更深时，日经225岁的大阪证券交易所的期货是看涨的
5. Estimation of time varying risk premia for the Nikkei 225 stock index futures contracts. [D] . Lee, Jungmann. 1997

机译：估算日经225股指期货合约的时变风险溢价。
6. Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective [O] . Xiong Xiong, Ding Nan, Yang Yang, -1

机译：基于Agent的中国股指期货市场市场稳定性和价格限制研究

Understanding the cost of carry in Nikkei 225 stock index futures markets: mispricing, price and volatility dynamics

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