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Systematic sampling of nonlinear models: evidence on speed of adjustment in index futures markets

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Systematic sampling of nonlinear models: evidence on speed of adjustment in index futures markets. / Paya, Ivan; Peel, David.
In: Journal of Futures Markets, Vol. 31, No. 2, 02.2011, p. 192-203.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Paya, I & Peel, D 2011, 'Systematic sampling of nonlinear models: evidence on speed of adjustment in index futures markets', Journal of Futures Markets, vol. 31, no. 2, pp. 192-203. https://doi.org/10.1002/fut.20464

APA

Paya, I., & Peel, D. (2011). Systematic sampling of nonlinear models: evidence on speed of adjustment in index futures markets. Journal of Futures Markets, 31(2), 192-203. https://doi.org/10.1002/fut.20464

Vancouver

Paya I, Peel D. Systematic sampling of nonlinear models: evidence on speed of adjustment in index futures markets. Journal of Futures Markets. 2011 Feb;31(2):192-203. doi: 10.1002/fut.20464

Author

Paya, Ivan ; Peel, David. / Systematic sampling of nonlinear models: evidence on speed of adjustment in index futures markets. In: Journal of Futures Markets. 2011 ; Vol. 31, No. 2. pp. 192-203.

Bibtex

@article{a992a15348904d8d9a94dc4ec7ac51df,
title = "Systematic sampling of nonlinear models: evidence on speed of adjustment in index futures markets",
abstract = "Based on the cost-of-carry model of future prices, a number of studies have estimated nonlinear autoregressive models for the basis at different frequencies (see, e.g., Dwyer GP, Locke, P, & Yu, W, 1996; Monoyios M and Sarno L, 2002; Taylor N, van Dijk D, Franses PH, & Lucas A, 2000). The structure of the models and the speed of adjustment to shocks reported are radically different. In this paper we examine the implications of systematic sampling. The results obtained show that regular sampling of the process seems important in attempting to explain the apparently contradictory results reported on the speed of adjustment to shocks in the cost-of-carry model. ",
author = "Ivan Paya and David Peel",
year = "2011",
month = feb,
doi = "10.1002/fut.20464",
language = "English",
volume = "31",
pages = "192--203",
journal = "Journal of Futures Markets",
issn = "0270-7314",
publisher = "Wiley-Liss Inc.",
number = "2",

}

RIS

TY - JOUR

T1 - Systematic sampling of nonlinear models: evidence on speed of adjustment in index futures markets

AU - Paya, Ivan

AU - Peel, David

PY - 2011/2

Y1 - 2011/2

N2 - Based on the cost-of-carry model of future prices, a number of studies have estimated nonlinear autoregressive models for the basis at different frequencies (see, e.g., Dwyer GP, Locke, P, & Yu, W, 1996; Monoyios M and Sarno L, 2002; Taylor N, van Dijk D, Franses PH, & Lucas A, 2000). The structure of the models and the speed of adjustment to shocks reported are radically different. In this paper we examine the implications of systematic sampling. The results obtained show that regular sampling of the process seems important in attempting to explain the apparently contradictory results reported on the speed of adjustment to shocks in the cost-of-carry model.

AB - Based on the cost-of-carry model of future prices, a number of studies have estimated nonlinear autoregressive models for the basis at different frequencies (see, e.g., Dwyer GP, Locke, P, & Yu, W, 1996; Monoyios M and Sarno L, 2002; Taylor N, van Dijk D, Franses PH, & Lucas A, 2000). The structure of the models and the speed of adjustment to shocks reported are radically different. In this paper we examine the implications of systematic sampling. The results obtained show that regular sampling of the process seems important in attempting to explain the apparently contradictory results reported on the speed of adjustment to shocks in the cost-of-carry model.

U2 - 10.1002/fut.20464

DO - 10.1002/fut.20464

M3 - Journal article

VL - 31

SP - 192

EP - 203

JO - Journal of Futures Markets

JF - Journal of Futures Markets

SN - 0270-7314

IS - 2

ER -