Mean reversion in stock index futures markets: A nonlinear analysis
Several stylized theoretical models of futures basis behavior under nonzero transactions costs predict nonlinear mean reversion of the futures basis towards its equilibrium value. Nonlinearly mean-reverting models are employed to characterize the basis of the SandP 500 and the FTSE 100 indices over...
| Main Authors: | , |
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| Formato: | Journal article |
| Idioma: | English |
| Publicado: |
2002
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