Regime switching and cointegration tests of the efficiency of futures
Article Abstract:
A regime switching model of spot prices was developed to prove that tests for cointegration and estimates of the cointegrating vector are likely to be biased when a sample contains infrequent changes in regime. Several researchers realized that spot and futures prices are not considered in some commodity markets. If ever they are, they come without a cointegrating vector. One belief is that disturbances to excess returns have a unit root persistence, which states that spot and futures do not move together one-for-one in the long run.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1998
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Continuously traded options on discretely traded commodity futures contracts
Article Abstract:
Hedge slippage costs can cause the gap between the soybean futures options on the Chicago Board of Trade and Tokyo Grain Exchange. The volume of soybean futures option contracts is greater in the CBT than in TGE as compared to trading in the underlying futures contract. Hedge slippage costs result from the inability of option market makers to generate and sustain delta-neutral hedges, which are consequences of institutional factors and the convexity of options prices.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1997
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An optimal price index for stock index futures contracts
Article Abstract:
The optimal index is the most ideal when creating a price index of stock index futures contracts. It is one of three indices considered for a contiguous price index for futures contracts, the two others being the spliced index and the Clark index. While the spliced index is not advised, the Clark index and the optimal index perform almost similarly. However, calculation of the Clark index entails higher cost and carries uncertainty because of its sample-dependence.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1996
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