Transactions costs, index arbitrage and non-linear dynamics between FTSE100 spot and futures : a treshold cointegration analysis
Juan Tao and Christopher J. Green
| Year of publication: |
2013
|
|---|---|
| Authors: | Tao, Juan ; Green, Christopher J. |
| Published in: |
International journal of finance & economics : IJFE. - Chichester, Sussex : Wiley, ISSN 1076-9307, ZDB-ID 1324693-8. - Vol. 18.2013, 2, p. 175-187
|
| Subject: | index futures | threshold cointegration | FTSE100 | Index-Futures | Index futures | Kointegration | Cointegration | Arbitrage | Transaktionskosten | Transaction costs | Aktienindex | Stock index | Derivat | Derivative | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010355992