Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

The pricing of commodity contracts

1976 • 2,931 citations

The relation between forward prices and futures prices

1981 • 770 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index

1987 • 491 citations

Hedging Performance and Basis Risk in Stock Index Futures

1984 • 339 citations

Forward contracts and futures contracts

1981 • 242 citations

A continuous time equilibrium model of forward prices and futures prices in a multigood economy

1981 • 235 citations

The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence

1983 • 183 citations

A comparison of futures and forward prices

1983 • 169 citations

The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index

1987 • 101 citations

Hedging Performance and Basis Risk in Stock Index Futures

1984 • 81 citations

Derivative Assets Analysis

1987 • 68 citations

Hedging with Mispriced Futures

1988 • 46 citations

Stock Index Futures: The Arbitrage Cycle and Portfolio Insurance

1988 • 31 citations