EconPapers    
Economics at your fingertips  
 

A Partially Linear Approach to Modeling the Dynamics of Spot and Futures Prices

Jürgen Gaul and Erik Theissen ()

Journal of Futures Markets, 2015, vol. 35, issue 4, 371-384

Abstract: This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend nonlinearly on the lagged price difference. The model is estimated using data on the DAX index and the DAX futures contract. We find that the adjustment is indeed nonlinear. The linear alternative is rejected. The speed of price adjustment is increasing almost monotonically with the magnitude of the price difference. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:371–384, 2015

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/

Related works:
Working Paper: A partially linear approach to modelling the dynamics of spot and futures prices (2012) Downloads
Working Paper: A partially linear approach to modelling the dynamics of spot and futures prices (2008) Downloads
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:wly:jfutmk:v:35:y:2015:i:4:p:371-384

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-09-09
Handle: RePEc:wly:jfutmk:v:35:y:2015:i:4:p:371-384