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• W1998806061 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." @default.
• W1998806061 created "2016-06-24" @default.
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• W1998806061 date "2010-12-01" @default.
• W1998806061 modified "2023-10-18" @default.
• W1998806061 title "Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets" @default.
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• W1998806061 doi "https://doi.org/10.1002/fut.20464" @default.
• W1998806061 hasPublicationYear "2010" @default.
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