Gaul, Juergen and Theissen, Erik ORCID: 0000-0003-4460-8168 (2015). A PARTIALLY LINEAR APPROACH TO MODELING THE DYNAMICS OF SPOT AND FUTURES PRICES. J. Futures Mark., 35 (4). S. 371 - 385. HOBOKEN: WILEY-BLACKWELL. ISSN 1096-9934

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Abstract

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend nonlinearly on the lagged price difference. The model is estimated using data on the DAX index and the DAX futures contract. We find that the adjustment is indeed nonlinear. The linear alternative is rejected. The speed of price adjustment is increasing almost monotonically with the magnitude of the price difference. (c) 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:371-384, 2015

Item Type: Journal Article
Creators:
CreatorsEmailORCIDORCID Put Code
Gaul, JuergenUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Theissen, ErikUNSPECIFIEDorcid.org/0000-0003-4460-8168UNSPECIFIED
URN: urn:nbn:de:hbz:38-408717
DOI: 10.1002/fut.21669
Journal or Publication Title: J. Futures Mark.
Volume: 35
Number: 4
Page Range: S. 371 - 385
Date: 2015
Publisher: WILEY-BLACKWELL
Place of Publication: HOBOKEN
ISSN: 1096-9934
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
KeywordsLanguage
STOCK INDEX FUTURES; ERROR-CORRECTION; ARBITRAGE; COINTEGRATION; MARKETS; CASH; INFORMATION; COMPONENTS; REGRESSION; LIQUIDITYMultiple languages
Business, FinanceMultiple languages
URI: http://kups.ub.uni-koeln.de/id/eprint/40871

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