Paya, Ivan; Peel, David A. - In: Journal of Futures Markets 31 (2011) 2, pp. 192-203
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...
