Modeling regime transition in stock index futures markets and forecasting implications
Download full text from publisher
References listed on IDEAS
- Hansen, Bruce E. & Seo, Byeongseon, 2002.
"Testing for two-regime threshold cointegration in vector error-correction models,"
Journal of Econometrics,
Elsevier, vol. 110(2), pages 293-318, October.
- Tom Doan, "undated". "RATS programs to replicate Hansen/Seo paper on threshold cointegration," Statistical Software Components RTZ00092, Boston College Department of Economics.
- Massimiliano Marcellino & Grayham E. Mizon & Hans-Martin Krolzig, 2002.
"A Markov-switching vector equilibrium correction model of the UK labour market,"
Springer, vol. 27(2), pages 233-254.
- Hans-Martin Krolzig & Massimiliano Marcellino & Grayham E. Mizon, "undated". "A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market," Working Papers 185, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Krolzig, Hans-Martin & Marcellino, Massimiliano & Mizon, Grayham E., 2000. "A Markov-switching vector equilibrium correction model of the UK labour market," Discussion Paper Series In Economics And Econometrics 105, Economics Division, School of Social Sciences, University of Southampton.
- Davidson, James, 2004. "Forecasting Markov-switching dynamic, conditionally heteroscedastic processes," Statistics & Probability Letters, Elsevier, vol. 68(2), pages 137-147, June.
- Costas Milas & Jesús Otero & Theodore Panagiotidis, 2004.
"Forecasting the spot prices of various coffee types using linear and non-linear error correction models,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 9(3), pages 277-288.
- Costas Milas & Jesus Otero & Theodore Panagiotidis, 2001. "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," BORRADORES DE INVESTIGACIÓN 002737, UNIVERSIDAD DEL ROSARIO.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 134-144, January.
- Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages 145-159, Supplemen.
- Chen, Nai-Fu & Cuny, Charles J & Haugen, Robert A, 1995. " Stock Volatility and the Levels of the Basis and Open Interest in Future Contracts," Journal of Finance, American Finance Association, vol. 50(1), pages 281-300, March.
- Hansen, Peter Reinhard, 2003.
"Structural changes in the cointegrated vector autoregressive model,"
Journal of Econometrics,
Elsevier, vol. 114(2), pages 261-295, June.
- Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics.
- Yiuman Tse, 1999. "Price discovery and volatility spillovers in the DJIA index and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(8), pages 911-930, December.
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
- Abhay Abhyankar, 1998. "Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(5), pages 519-540, August.
- P. V. Viswanath, 1993. "Efficient use of information, convergence adjustments, and regression estimates of hedge ratios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(1), pages 43-53, February.
- Dwyer, Gerald P, Jr & Locke, Peter R & Yu, Wei, 1996.
"Index Arbitrage and Nonlinear Dynamics between the S&P 500 Futures and Cash,"
Review of Financial Studies,
Society for Financial Studies, vol. 9(1), pages 301-332.
- Gerald P. Dwyer & Peter Locke & Wei Yu, 1995. "Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash," FRB Atlanta Working Paper 95-17, Federal Reserve Bank of Atlanta.
- Vicente Meneu & Hipòlit Torró, 2003. "Asymmetric covariance in spot‐futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
- Param Silvapulle & Imad A. Moosa, 1999. "The relationship between spot and futures prices: Evidence from the crude oil market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(2), pages 175-193, April.
- Lucio Sarno & Giorgio Valente, 2000. "The cost of carry model and regime shifts in stock index futures markets: An empirical investigation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(7), pages 603-624, August.
- Jae H. Min & Mohammad Najand, 1999. "A further investigation of the lead–lag relationship between the spot market and stock index futures: Early evidence from Korea," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(2), pages 217-232, April.
- Amir Alizadeh & Nikos Nomikos, 2004. "A Markov regime switching approach for hedging stock indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(7), pages 649-674, July.
- Ying‐Foon Chow, 1998. "Regime switching and cointegration tests of the efficiency of futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(8), pages 871-901, December.
- Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
- 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.
- Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
- Siklos, Pierre L. & Granger, Clive W.J., 1997.
"Regime-Sensitive Cointegration With An Application To Interest-Rate Parity,"
Cambridge University Press, vol. 1(03), pages 640-657, September.
- Siklos, P.L. & Granger, C.W.J., 1997. "Regime Sensitive Cointegration with an Application to Interest rate Parity," Working Papers 97-5, Wilfrid Laurier University, Department of Economics.
- Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 69-88.
- Green, Christopher J & Joujon, Emmanuel, 2000. "Unified Tests of Causality and Cost of Carry: The Pricing of the French Stock Index Futures Contract," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 5(2), pages 121-140, April.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
- Chang, Kuang-Liang, 2012. "Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market," Energy Economics, Elsevier, vol. 34(1), pages 294-306.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:27:y:2008:i:8:p:649-669. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www3.interscience.wiley.com/cgi-bin/jhome/2966 .