Regime switching in stock index and futures markets: a note on the NIKKEI evidence
Using a time-varying regime-switching vector error correction approach, we find strong evidence that the NIKKEI stock index cash and futures prices are jointly characterized by regime switching, which is time-varying and dependent upon the basis, the interest rate, the volatility of the cash index, and the US futures market. Copyright © 2009 John Wiley & Sons, Ltd.
Volume (Year): 14 (2009)
Issue (Month): 4 ()
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References listed on IDEAS
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- Jian Yang & David A. Bessler, 2004. "The International Price Transmission in Stock Index Futures Markets," Economic Inquiry, Western Economic Association International, vol. 42(3), pages 370-386, July.
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"Asymmetric covariance in spot‐futures markets,"
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