Cointegration and error correction models: intertemporal causality between index and futures prices

Article Abstract:

A study was conducted to evaluate the effectivity of an econometric methodology in predicting index spot and future price variations. The study focuses on a new methodlogy which combines short-run dynamic adjustment and long-term relationships between economic variables. Results show that index spot and futures prices exhibit an integrated movement. In addition, the development of error correction models are considered relevant for predicting such behavior.

Models, Error analysis (Mathematics), Error analysis

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Estimating the volatility of S&P futures prices using the extreme-value method

Article Abstract:

A comparison of methodologies in measuring price fluctuations of Standard and Poor's 500 futures prices using close-to-close estimators and the extreme valueestimators was presented. The factors studied for both estimators were relativebias, efficiency and forecasting qualities. It was concluded that extreme valueestimators present a more realistic calculation of price ranges since they consider prices for an entire day and show little relative bias.

Usage, Extreme value theory

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The cost of carry model and regime shifts in stock index futures markets: An empirical investigation

Article Abstract:

The dynamic link between spot and futures prices in stock index futures markets are examined using nonlinear, regime-switching-vector equilibrium-correction models.

Stocks & Other Equity Securities

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