## Abstract Using a timeβvarying regimeβswitching vector error correction approach, this paper seeks to address which factors explain the transition across regimes of the US and the UK stock index futures markets. The findings suggest that the basis exercises a significant effect in regime transiti
Modeling and forecasting energy markets with the intermediate future forecasting system
β Scribed by Frederic H. Murphy; John J. Conti; Susan H. Shaw; Reginald Sanders
- Publisher
- Elsevier Science
- Year
- 1989
- Tongue
- English
- Weight
- 133 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0895-7177
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
The purpose of this article is to compare the accuracy of forecasts for natural gas prices as reported by the Energy Information Administration's short-term energy outlook (STEO) and the futures market for the period from 1998 to 2004. The analysis tabulates the existing data and develops a statisti
## Abstract This paper proposes a vector equilibrium correction model of stock returns that exploits the information in the futures market, while allowing for both regimeβswitching behaviour and international spillovers across stock market indices. Using data for three major stock market indices si
F evaluate the economic benefits of futures markets is to examine their effects on the intertemporal allocation of resources. This issue was studied by DeCanio (1980) and Stein (1981Stein ( , 1986) ) who showed that the economic benefits of futures trading can be measured by the ex-post welfare loss