TRANSACTIONS COSTS, INDEX ARBITRAGE AND NON‐LINEAR DYNAMICS BETWEEN FTSE100 SPOT AND FUTURES: A THRESHOLD COINTEGRATION ANALYSIS
| Year of publication: |
2013
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|---|---|
| Authors: | Tao, Juan ; Green, Christopher J. |
| Published in: |
International journal of finance & economics : IJFE. - Chichester, Sussex : Wiley, ISSN 1076-9307, ZDB-ID 13246938. - Vol. 18.2013, 2, p. 175-187
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