Herbst, A. F., and Mabe rly, E. D., "Shoes and Ships and Sealing Wax, Cabbages and Kings: Now TailWagged Dogs and Stock Index Future s." Financ ial Analysts Journal, Vol. 43 No. 6 (November/December 1987), pp. 73-5.  Home/Search Document Not in Database Summary Related Articles |
This paper is cited in the following contexts:
Information Dispersal: A Microstructure Analysis of Stock.. - Daigler, Herbst Self-citation (Herbst) (Correct)
....serial correlation from the smoothing effect of using old prices results in downwardly biased volatility estimates for the cash indices. Thus, the futures transactions data provide a more accurate high frequency measure of volatility than available for the cash indices. Cheung and Ng (1990) Herbst and Maberly (1987), Herbst, McCormack and West (1987) and Kawaller, Koch, and Koch (1987) among others, show that futures price changes lead cash stock indices price changes by 15 to 30 minutes. 3 The purpose of this paper is to apply a different methodology, cross spectral analysis, to the study of the ....
Herbst, A. F., and Mabe rly, E. D., "Shoes and Ships and Sealing Wax, Cabbages and Kings: Now TailWagged Dogs and Stock Index Future s." Financ ial Analysts Journal, Vol. 43 No. 6 (November/December 1987), pp. 73-5.
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