Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets
Based on the cost‐of‐carry model of future prices, a number of studies have estimated nonlinear autoregressive models for the basis at different frequencies (see, e.g., Dwyer GP, Locke, P, & Yu, W, <link href="#bib7">1996</link>; Monoyios M and Sarno L, <link href="#bib15">2002</link>; Taylor N, van Dijk D, Franses PH, & Lucas A, <link href="#bib26">2000</link>). The structure of the models and the speed of adjustment to shocks reported are radically different. In this paper we examine the implications of systematic sampling. The results obtained show that regular sampling of the process seems important in attempting to explain the apparently contradictory results reported on the speed of adjustment to shocks in the cost‐of‐carry model. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:192–203, 2011
Year of publication: |
2011
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Authors: | Paya, Ivan ; Peel, David A. |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 31.2011, 2, p. 192-203
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Publisher: |
John Wiley & Sons, Ltd. |
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