Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash-Reference-Cited by-同舟云学术

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Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash

Published:1996-01 Issue:1 Volume:9 Page:301-332
ISSN:0893-9454
Container-title:Review of Financial Studies
language:en
Short-container-title:Rev. Financ. Stud.

Author:

Dwyer Gerald P.,Locke Peter,Yu Wei

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

http://academic.oup.com/rfs/article-pdf/9/1/301/5388339/090301.pdf

Reference33 articles.

1. Bendat J. S. , 1990, Nonlinear System Analysis and Identification, John Wiley and Sons, New York.

2. Bradley J. V. , 1968, Distribution Free Statistical Tests, Prentice-Hall, Englewood Cliffs, N.J.

3. Optimal Arbitrage Strategies Under Basis Variability;Brennan;Studies in Banking and Finance,1988

4. Arbitrage in Stock Index Futures

5. Percentage Points of Likelihood Ratio Tests for Threshold Autoregression;Chan;Journal of the Royal Statistical Society, Series B,1991

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