Qin, Jieye; Green, Christopher J.; Sirichand, Kavita - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-31
This paper studies price discovery in Nikkei 225 markets through the nonlinear smooth transition price adjustments … between spot and future prices and across all three futures markets. We test for smooth transition nonlinearity and employ an … exponential smooth transition error correction model (ESTECM) with exponential generalised autoregressive conditional …