Chung, Hon-Lun; Chan, Wai-Sum; Batten, Jonathan - In: The European Journal of Finance 17 (2011) 7, pp. 471-486
We test the joint dynamics between the Hong Kong Hang Seng Index futures and the underlying cash index using a Bivariate Threshold AutoRegressive model, which is better able to capture the complex return dynamics evident in financial time series. The results are consistent with a three-regime...