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Nonlinear dynamics of the Nikkei Stock Average Futures

✍ Scribed by Y. K. Tse

Book ID
105569072
Publisher
Springer
Year
1995
Tongue
English
Weight
730 KB
Volume
2
Category
Article
ISSN
1573-6946

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πŸ“œ SIMILAR VOLUMES

Lead-lag relationship between spot index
Lead-lag relationship between spot index and futures price of the nikkei stock average
✍ Y. K. Tse πŸ“‚ Article πŸ“… 1995 πŸ› John Wiley and Sons 🌐 English βš– 641 KB

This paper examines the lead-lag relationship between the spot index and futures price of the Nikkei Stock Average. Using daily data in the postcrash period we investigate the interaction between the spot and futures series through the error correction model. Two versions of error correction models

Arbitrage and price behavior of the Nikk
Arbitrage and price behavior of the Nikkei stock index futures
✍ Kian-Guan Lim πŸ“‚ Article πŸ“… 1992 πŸ› John Wiley and Sons 🌐 English βš– 703 KB

## Introduction he Nikkei Stock Average Futures contract started trading at the Singapore T International Monetary Exchange (SIMEX) on September 3, 1986. SIMEX became the first futures exchange to trade a stock index futures outside the country where the indexed stocks are traded. The stock index

Regime switching in stock index and futu
Regime switching in stock index and futures markets: a note on the NIKKEI evidence
✍ Angelos Kanas πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 95 KB

## Abstract Using a time‐varying regime‐switching vector error correction approach, we find strong evidence that the NIKKEI stock index cash and futures prices are jointly characterized by regime switching, which is time‐varying and dependent upon the basis, the interest rate, the volatility of the