Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash

Gerald P. Dwyer, Jr. ; Peter Locke ; Wei Yu

Year of publication:	1996
Authors:	Dwyer, Gerald P. <jun.>
Other Persons:	Locke, Peter R. (contributor) ; Yu, Wei (contributor)
Published in:	The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 9.1996, 1, p. 301-332
Subject:	Arbitrage \| Transaktionskosten \| Transaction costs \| Index-Futures \| Index futures \| Aktienindex \| Stock index \| USA \| United States \| 1982-1990

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