The Nonlinear Relation Between S&P500 Index Futures Mispricing and Volume: The Threshold Analysis
碩士 === 國立政治大學 === 財務管理研究所 === 92 === This article highlights the impact of short selling restrictions and trading costs on the relation on futures mispricing error. Within threshold autoregression model (TAR) and momentum threshold autoregressive model (M-TAR), the influence of optimal arbitrage tra...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/35456498376239382204 |
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