Qin, Jieye; Green, Christopher J.; Sirichand, Kavita - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-31
This paper studies price discovery in Nikkei 225 markets through the nonlinear smooth transition price adjustments between spot and future prices and across all three futures markets. We test for smooth transition nonlinearity and employ an exponential smooth transition error correction model...
