scientific article; zbMATH DE number 5002337

MaRDI QIDQ3368276zbMATH OpenFDO

Authors

Publication date 27 January 2006

zbMATH Keywords

arbitrageautocorrelationFTSE 100 index basismicrostructurethreshold autoregression

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

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Cited in

(5)

• The behavior of extreme values in Germany's stock index futures: An application to intradaily margin setting
• Stock futures of a flawed market index
• Nonlinear features and mean reversion mechanism research based on the basis of stock index futures
• Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?
• Ultra-high-frequency algorithmic arbitrage across international index futures

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