✦ LIBER ✦

Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets

✍ Scribed by Ivan Paya; David A. Peel

Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 91 KB
Volume: 31
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20464

No coin nor oath required. For personal study only.

✦ Synopsis

The structure of the models and the speed of adjustment to shocks reported are radically different. In this paper we examine the implications of systematic sampling. The results obtained show that regular sampling of the process seems important in attempting to explain the apparently contradictory results reported on the speed of adjustment to shocks in the cost-of-carry model.