Linear and Nonlinear Intraday Dynamics between the Eurostoxx-50
AbstractWe set out to analyse the linear and nonlinear dynamic behaviour of intraday returns in the Eurostoxx 50 index and its futures contract which, given their relatively recent appearance, have not yet been analysed. We shall develop our study both from an individual and from a combined approach. The results of the BDS test indicate that the variables are not iid and that the detected nonlinear individual dynamics cannot solely be explained by the presence of conditional heteroskedasticity. For the study of the dynamic relationships between both markets’ prices, we allow the adjustment process to the imbalance of the long term cointegration relationship to be nonlinear. We find cointegration with a nonlinear adjustment process. Finally, we show that the information flow is bidirectional both in the linear as well as in the nonlinear sphere.
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Bibliographic InfoPaper provided by Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales in its series Documentos del Instituto Complutense de Análisis Económico with number 0208.
Length: pages 28
Date of creation: 2002
Date of revision:
Nonlinearity; BDS; Nonlinear error correction mechanism; Nonlinear causality; Eurostoxx50; Index futures.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-28 (All new papers)
- NEP-EEC-2003-10-28 (European Economics)
- NEP-ETS-2003-10-28 (Econometric Time Series)
- NEP-RMG-2003-10-28 (Risk Management)
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