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CFS Working Paper Series, Universität Frankfurt a. M. >
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http://hdl.handle.net/10419/25547
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| Title: | | A partially linear approach to modelling the dynamics of spot and futures prices  |
| Authors: | | Gaul, Jürgen Theissen, Erik |
| Issue Date: | | 2008 |
| Series/Report no.: | | CFS Working Paper 2008/12 |
| Abstract: | | In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model 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. |
| Subjects: | | Futures Markets Cointegrated Systems Partially Linear Models Nonparametric Methods |
| JEL: | | C32 C14 G13 G14 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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