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...
| Автори: | , |
|---|---|
| Формат: | Journal article |
| Мова: | English |
| Опубліковано: |
2002
|
Search Result 1
Mean reversion in stock index futures markets: a nonlinear analysis
Опубліковано 2002
Journal article