Nonlinear dynamics in arbitrage of the S&P 500 index and futures: A threshold error-correction model

✍ Scribed by Bong-Han Kim; Sun-Eae Chun; Hong-Ghi Min

• Book ID: 116424018
• Publisher: Elsevier Science
• Year: 2010
• Tongue: English
• Weight: 533 KB
• Volume: 27
• Category: Article
• ISSN: 0264-9993
• DOI: 10.1016/j.econmod.2009.11.011