MODELLING FINANCIAL FUTURES MISPRICING USING SELF-EXCITING THRESOLD AUTOREGRESSIVE PROCESSES
Year of publication: |
1990
|
---|---|
Authors: | POPE, P.F. ; YADAV, P.K. |
Institutions: | Graduate School of Business, Columbia University |
Subject: | demand | time factor | arbitration | costs | econometric models |
-
SOME NEW EVIDENCE ON THE TIMING OF CONSUMPTION DECISIONS AND ON THEIR GENERATING PROCESS
ERMINI, L., (1988)
-
BOOTSTRAPPING TESTS OF LONG-TERM STOCK MARKET EFFICIENCY.
GOETZMANN, W.N., (1990)
-
Ghysels, E., (1986)
- More ...
-
Stock index futures mispricing: profit opportunities or risk premia?
Yadav, P.K., (1994)
-
ASYMMETRIES IN ENTRY COMPETENCE: A REVISIONIST ANALYSIS OF THE RTE CEREALS INDUSTRY.
THOMAS, L.G., (1989)
-
SUNDARESAN, S., (1989)
- More ...