Please use this identifier to cite or link to this item: http://pandora.lib.unipi.gr/jspui/handle/unipi/1633
Title: Regime switching in stock index and futures markets: a note on the NIKKEI evidence
Authors: 
Citation: International Journal of Finance and Economics, 14, 4, 2009, 394-399
Abstract: Using a time-varying regime-switching vector error correction approach, we find strong evidence that the NIKKEI stock index cash and futures prices are jointly characterized by regime switching, which is time-varying and dependent upon the basis, the interest rate, the volatility of the cash index, and the US futures market.
URI: http://pandora.lib.unipi.gr/jspui/handle/unipi/1633
URLs: http://ideas.repec.org/a/ijf/ijfiec/v14y2009i4p394-399.html
Appears in Collections:Δημοσιεύσεις σε Περιοδικά

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