Cointegration and error correction models: Intertemporal causality between index and futures prices
โ Scribed by Asim Ghosh
- Publisher
- John Wiley and Sons
- Year
- 1993
- Tongue
- English
- Weight
- 367 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Previous studies have examined causality within and between different spot and futures markets with a motivation to discover market comovements, price leadership effects, and, more recently, volatility spillovers across markets. However, the empirical framework within which this is accomplished tend
Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is suciently large to compensate for transaction costs and associated interest rate and dividend risks. We estimate the band around the theoretical futures price within which arbitrage is not proยฎtable
## 96lQ6614 Employment In energy rector lletleor Thorborg, L. Gas (Netherlands), Feb. 1996, 116, (2), 32-36. (In Flemish) Collective labour agreement negotiations in the Dutch energy sector that started in December 1995, have not yet been completed. The main feature is the companies' need for a mor