A Threshold Error Correction Model for Intraday Futures and Index Returns
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Other versions of this item:
- Martin Martens & Paul Kofman & Ton C. F. Vorst, 1998. "A threshold error-correction model for intraday futures and index returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 245-263.
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KeywordsECONOMETRICS; Financial markets; Error Correction Model;
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