TRANSACTIONS COSTS, INDEX ARBITRAGE AND NON‐LINEAR DYNAMICS BETWEEN FTSE100 SPOT AND FUTURES: A THRESHOLD COINTEGRATION ANALYSIS
| Year of publication: |
2013
|
|---|---|
| Authors: | Tao, Juan ; Green, Christopher J. |
| Published in: |
International Journal of Finance & Economics. - John Wiley & Sons, Ltd.. - Vol. 18.2013, 2, p. 175-187
|
| Publisher: |
John Wiley & Sons, Ltd. |