1992
DOI: 10.1002/fut.3990120606
|View full text |Cite
|
Sign up to set email alerts
|

Does the S&P 500 futures mispricing series exhibit nonlinear dependence across time?

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
3
1
1

Citation Types

1
14
0
1

Year Published

1995
1995
2015
2015

Publication Types

Select...
7

Relationship

0
7

Authors

Journals

citations
Cited by 27 publications
(16 citation statements)
references
References 55 publications
(30 reference statements)
1
14
0
1
Order By: Relevance
“…Blank (1991) estimated correlation dimensions and Lyapunov exponents on soybean and S&P 500 futures prices, finding all results to be consistent with the presence of determin-istic chaos. Vaidyanathan and Krehbiel (1992) studied mispricing in the S&P 500 contract, finding evidence of nonlinearity and low-order determinism. Yang and Brorsen (1993) found evidence of nonlinearity in several futures markets, which is consistent with deterministic chaos in about half of the cases.…”
Section: Nonlinearity In Futures and Other Financial Marketsmentioning
confidence: 98%
“…Blank (1991) estimated correlation dimensions and Lyapunov exponents on soybean and S&P 500 futures prices, finding all results to be consistent with the presence of determin-istic chaos. Vaidyanathan and Krehbiel (1992) studied mispricing in the S&P 500 contract, finding evidence of nonlinearity and low-order determinism. Yang and Brorsen (1993) found evidence of nonlinearity in several futures markets, which is consistent with deterministic chaos in about half of the cases.…”
Section: Nonlinearity In Futures and Other Financial Marketsmentioning
confidence: 98%
“…In contrast to this, however, there is documented evidence of pricing errors in stock index futures. Indeed, the literature has begun to focus specifically on the behavior of the mispricing series [e.g., Miller, Muthuswamy, and Whaley (1994), Vaidyanathan and Krehbiel (1992), Pope (1992, 1993)]. …”
Section: Introductionmentioning
confidence: 99%
“…There is ample evidence that S&P return index possesses nonlinear characteristics (Abhyankar et al, 1997;Brock et al, 1991;Hinich andPatterson, 1985, 1989;Hsieh, 1989;Vaidyanathan and Krehbiel, 1992). There is also some research based on Hinich's linearity test indicating the US real GNP growth data is nonlinear (Ashley and Patterson, 1989;Scheinkman and LeBaron, 1989) and many threshold autoregressive models and generalizations have been used to model the series (Potter, 1995;Scheinkman and LeBaron, 1989;Terasvirta, 1994;Tiao and Tsay, 1994).…”
Section: The Data -Gnp and Sandpmentioning
confidence: 99%