Wavelet Analysis of the Cost-of-Carry Model

Lin Shinn-Juh and Stevenson Maxwell
Additional contact information
Lin Shinn-Juh: National Tsing Hua University
Stevenson Maxwell: University of Technology, Sydney

Studies in Nonlinear Dynamics & Econometrics, 2001, vol. 5, issue 1, 17

Abstract: In this paper, it is shown how one can employ the wavelet analysis to reconstruct data based only on the subset of information that differentiates the two fundamentally related time series: spot and futures indices. Such an analysis allows researchers to focus on examining the relationship between the two price series. Furthermore, it also enables examination and comparison of reconstructed prices based on different levels of information detail. It is found that the lead-lag relationship described in the empirical literature still exists between the spot and the futures index prices. Such a relationship is more persistent when more detailed information is used for price reconstruction. This implies that, if market imperfection is to be blamed for the noncontemporaneous relationship between the spot and the futures indices, one should concentrate solely on those imperfections that are likely to occur within very short time horizons.

Keywords: wavelet analysis; cost-of-carry model (search for similar items in EconPapers)
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

Downloads: (external link)
https://doi.org/10.2202/1558-3708.1073 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:5:y:2001:i:1:n:7

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/snde/html

DOI: 10.2202/1558-3708.1073

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().