A partially linear approach to modelling the dynamics of spot and futures prices
- In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX index and the DAX futures contract. We find that the adjustment is indeed nonlinear. The linear alternative is rejected. The speed of price adjustment is increasing almost monotonically with the magnitude of the price difference.
| Verfasserangaben: | Jürgen Gaul, Erik TheissenORCiDGND |
|---|---|
| URN: | urn:nbn:de:hebis:30-54405 |
| URL: | https://www.ifk-cfs.de/index.php?id=1364 |
| Titel des übergeordneten Werkes (Deutsch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,12 |
| Schriftenreihe (Bandnummer): | CFS working paper series (2008, 12) |
| Verlag: | Center for Financial Studies |
| Verlagsort: | Frankfurt am Main |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2008 |
| Jahr der Erstveröffentlichung: | 2008 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 11.04.2008 |
| Freies Schlagwort / Tag: | cointegrated systems; futures markets; nonparametric methods; partially linear models |
| GND-Schlagwort: | Termingeschäft |
| Ausgabe / Heft: | March 5, 2008 |
| Seitenzahl: | 26 |
| HeBIS-PPN: | 197750834 |
| Institute: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Klassifikation: | C Mathematical and Quantitative Methods / C1 Econometric and Statistical Methods: General / C14 Semiparametric and Nonparametric Methods |
| C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C32 Time-Series Models; Dynamic Quantile Regressions (Updated!) | |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
