Transactions costs, index arbitrage and non-linear dynamics between FTSE100 spot and futures : a treshold 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 1324693-8. - Vol. 18.2013, 2, p. 175-187
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Subject: | index futures | threshold cointegration | FTSE100 | Kointegration | Cointegration | Index-Futures | Index futures | Transaktionskosten | Transaction costs | Arbitrage | Derivat | Derivative | Aktienindex | Stock index | Theorie | Theory |
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