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Autor
Bruzda Joanna (Nicolaus Copernicus University in Toruń, Poland)
Tytuł
The Cost-of-Carry Model for the FW20 Futures Contracts: Threshold Cointegration Framework
Źródło
FindEcon Monograph Series : advances in financial market analysis, 2006, nr 2, s. 183-205, rys., tab., bibliogr. s. 203-205
Tytuł własny numeru
Financial markets : principles of modeling forecasting and decision-making
Słowa kluczowe
Kontrakty futures, Teoria arbitrażu cenowego, Model cost-of-carry, Kointegracja
Futures contracts, Arbitrage Pricing Theory (APT), Cost-of-Carry Model, Cointegration
Abstrakt
Chapter 11 presents the cost-of-carry model for futures contracts on the Warsaw Stock Exchange index WIG20. Intraday one-minute data has been used. It has been found that the presence of transaction costs causes mispricing series from non-arbitrage cost-of-carry relationships to have a nonlinear form. Arbitrageurs take a long or a short position only if the mispricing is greater in magnitude than a certain threshold. This causes the dynamics of the mispricing series to be effectively described by threshold autoregressive processes with three regimes. Such processes allow for a unit-root behavior in a middle regime, while at the same time being globally second-order stationary. In the chapter a non-arbitrage relationship is examined in the threshold cointegration framework. (fragment of text)
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Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
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Bibliografia
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