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Martens et al., 1998 - Google Patents

A threshold error‐correction model for intraday futures and index returns

Martens et al., 1998

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Document ID
18299897709642308593
Author
Martens M
Kofman P
Vorst T
Publication year
Publication venue
Journal of Applied Econometrics

External Links

Snippet

Index‐futures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated interest rate and dividend risks. We estimate the band around the theoretical futures price within which …
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Investment, e.g. financial instruments, portfolio management or fund management
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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