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|Title:||Regime switching in stock index and futures markets: a note on the NIKKEI evidence|
|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.|
|Appears in Collections:||Δημοσιεύσεις σε Περιοδικά|
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