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Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?
2002
Applied Financial Economics
If stock and stock index futures markets are functioning properly price movements in these markets should best be described by a first order vector error correction model with the error correction term being the price differential between the two markets (the basis). Recent evidence suggests that there are more dynamics present than should be in effectively functioning markets. Using self-exciting threshold autoregressive (SETAR) models we analyse whether such dynamics can be related to
doi:10.1080/09603100110087996
fatcat:elnhahfmlzbu7kvybiinnprmkq