Vector autoregression or simultaneous equations model? The intraday relationship between index arbitrage and market volatility Kalok Chan; Y. Peter Chung Journal of Banking & Finance 1995 19(1), 173-179
Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test Kalok Chan; Y. Peter Chung Journal of Banking & Finance 1993 17(4), 663-687