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A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges

  • Eduardo Rossi
  • Paolo Santucci de Magistris

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Futures Markets.

Volume (Year): 33 (2013)
Issue (Month): 1 (01)
Pages: 77-102

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Handle: RePEc:wly:jfutmk:v:33:y:2013:i:1:p:77-102
Contact details of provider: Web page: http://www.interscience.wiley.com/jpages/0270-7314/

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