Nonlinear features and mean reversion mechanism research based on the basis of stock index futures

DOI10.3969/J.ISSN.0253-2778.2013.12.005MaRDI QIDQ2923673zbMATH OpenFDO

Authors Wuyi Ye, Min Chen, Baiqi Miao, Wuqing Wu, Yong Jiang

Publication date 3 November 2014

Published in Journal of University of Science and Technology of China (Search for Journal in Brave)

zbMATH Keywords

mean reversionstock index futuresthree-regime threshold autoregressive model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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