This study examines the impact of the CSI 300 index futures on the underlying spot market in terms of feedback trading model. A univariate AR-GJR-GARCH-M model and a bivariate VECM–GARCH-M model are employed for the analysis. Our research reveals that the CSI 300 stock index futures market...

Using high-frequency data, this study investigates price discovery in the newly established stock index (CSI300) futures market in China. Our empirical results reveal new evidence that the CSI300 index futures market play a dominant role in the price discovery process about one year after its...

In this paper, we assess the hedging performance of the newly established CSI 300 stock index futures over some short hedging horizons. We use wavelet analysis as well as conventional models (naïve, ordinary least squares, and error-correction) to compute the constant hedge ratios. The constant...

China is transforming itself and the world. This article highlights some of the critical issues facing China, which are discussed in detail by leading scholars in the area in this collection of surveys on the Chinese economy.

Urban environments have become an increasingly important part of the world's ecosystems, and the characteristics that enable animals to live there are not fully understood. A typical urban characteristic is the high level of ambient noise, which presents difficulties for animals that use vocal...

Coal-measure kaolinite is a main gangue mineral in coal deposits. Because of the colloidal particle size, the kaolinite is very stable in coal tailing slurries, leading to a high turbidity of recycled water in coal washing plants. The coagulation of colloidal kaolinite in aqueous suspensions is...

Climate forecasting systems that group years on the basis of a climate forecasting index like the Southern Oscillation Index (SOI) or sea surface temperatures (SSTs) are quite simple to explain to industry personnel. Phase systems identify a subset of years (analogues) that have the same phase...

We derive the asymptotic distribution of the ordinary least squares estimator in a regression with cointegrated variables under misspecification and/or nonlinearity in the regressors. We show that, under some circumstances, the order of convergence of the estimator changes and the asymptotic...

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector autoregressive model, whether all estimators are born equal:...