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UK Covered Warrants and Their Underlying Shares: A Panel Cointegration Approach
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Trading costs and the relative rates of price discovery in stock, futures, and option markets
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Introduction to Time Series Analysis
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A simple panel unit root test in the presence of cross‐section dependence
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Statistical analysis of cointegration vectors
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An analytic valuation formula for unprotected American call options on stocks with known dividends
inferredcites →https://doi.org/10.1016/s0304-4076(03)00092-7openalex-extracted
Testing for unit roots in heterogeneous panels
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Spurious regression and residual-based tests for cointegration in panel data
inferredcites →https://doi.org/10.1017/s0266466604203073openalex-extracted
PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
inferredcites →https://doi.org/10.1080/07474939808800403openalex-extracted
A residual-based test of the null of cointegration in panel data
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Lead-lag associations between option trading and cash market volatility
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Futures Trading and Market Information
inferredcites →https://doi.org/10.1086/261508openalex-extracted
Informational Externalities and Welfare-Reducing Speculation
inferredcites →https://doi.org/10.1093/biomet/71.3.599openalex-extracted
Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order
inferredcites →https://doi.org/10.1093/rfs/7.4.743openalex-extracted
Insider and Liquidity Trading in Stock and Options Markets
inferredcites →https://doi.org/10.1111/0022-1082.194060openalex-extracted
Option Volume and Stock Prices: Evidence on Where Informed Traders Trade
inferredcites →https://doi.org/10.1111/1368-423x.00043openalex-extracted
Testing for stationarity in heterogeneous panel data
inferredcites →https://doi.org/10.1111/j.1468-0084.1992.tb00008.xopenalex-extracted
DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND
inferredcites →https://doi.org/10.1111/j.1540-6261.1978.tb03394.xopenalex-extracted
COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA
inferredcites →https://doi.org/10.1111/j.1540-6261.1979.tb00063.xopenalex-extracted
An Empirical Examination of the Black-Scholes Call Option Pricing Model
inferredcites →https://doi.org/10.1111/j.1540-6261.1981.tb00461.xopenalex-extracted
Futures Trading and Volatility in the GNMA Market
inferredcites →https://doi.org/10.1111/j.1540-6261.1982.tb03597.xopenalex-extracted
Option Prices as Predictors of Equilibrium Stock Prices
inferredcites →https://doi.org/10.1111/j.1540-6261.1986.tb04494.xopenalex-extracted
Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb05087.xopenalex-extracted
Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05136.xopenalex-extracted
Why Option Prices Lag Stock Prices: A Trading-Based Explanation
inferredcites →https://doi.org/10.1111/j.1540-6288.1996.tb00883.xopenalex-extracted
The Relationship Between Stock and Option Price Changes
inferredcites →https://doi.org/10.1111/j.1540-6288.1999.tb00471.xopenalex-extracted
The Cross‐Sectional Relationship Between Trading Costs and Lead/Lag Effects in Stock & Option Markets
inferredcites →https://doi.org/10.2139/ssrn.457280openalex-extracted
A Simple Panel Unit Root Test in the Presence of Cross Section Dependence
inferredcites →https://doi.org/10.2307/1912517openalex-extracted
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
inferredcites →https://doi.org/10.2307/2330866openalex-extracted
Price Changes of Related Securities: The Case of Call Options and Stocks
inferredcites →https://doi.org/10.2307/2938278openalex-extracted
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
inferredcites →https://doi.org/10.2307/2978484openalex-extracted
The Valuation of Option Contracts and a Test of Market Efficiency
inferredcites →https://doi.org/10.2469/faj.v31.n4.36openalex-extracted
Fact and Fantasy in the Use of Options
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