TY  - UNPD
A1  - Gaul, Jürgen
A1  - Theissen, Erik
T1  - A partially linear approach to modelling the dynamics of spot and futures prices
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,12
N2  - 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.
T3  - CFS working paper series - 2008, 12 
KW  - futures markets
KW  - cointegrated systems
KW  - partially linear models
KW  - nonparametric methods
KW  - Termingeschäft
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/85
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-54405
UR  - https://www.ifk-cfs.de/index.php?id=1364
IS  - March 5, 2008
PB  - Center for Financial Studies
CY  - Frankfurt am Main
ER  -