Asymmetric mispricing and regime-dependent dynamics in index futures and options markets
Jaeram Lee and Doojin Ryu
| Year of publication: |
March 2016
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|---|---|
| Authors: | Lee, Jaeram ; Ryu, Doojin |
| Published in: |
Asian economic journal : journal of the East Asian Economic Association. - Richmond, Vic. : Wiley-Blackwell, ISSN 1351-3958, ZDB-ID 1134817-3. - Vol. 30.2016, 1, p. 47-65
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| Subject: | KOSPI200 futures and options | limited dependent variable model | mispricing | threshold vector error-correction model | transaction costs | Index-Futures | Index futures | Transaktionskosten | Transaction costs | Derivat | Derivative | Theorie | Theory | Optionsgeschäft | Option trading | Schätzung | Estimation | Kointegration | Cointegration |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/asej.12084 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011525887