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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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