Stock futures of a flawed market index

DOI10.1007/S10690-018-9253-6zbMath1410.91459OpenAlexW3122550561MaRDI QIDQ1732968

Kotaro Miwa

Publication date: 26 March 2019

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-018-9253-6

zbMATH Keywords

stock market indexindex futuresstock mispricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Statistical analysis of cointegration vectors
• Testing for a unit root in time series regression

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