Studies in Nonlinear Dynamics and Econometrics
ثبت نشده
چکیده
In this paper, it is shown how one can employ the wavelet analysis to reconstruct data based only on the subset of information that differentiates the two fundamentally related time series: spot and futures indices. Such an analysis allows researchers to focus on examining the relationship between the two price series. Furthermore, it also enables examination and comparison of reconstructed prices based on different levels of information detail. It is found that the lead-lag relationship described in the empirical literature still exists between the spot and the futures index prices. Such a relationship is more persistent when more detailed information is used for price reconstruction. This implies that, if market imperfection is to be blamed for the noncontemporaneous relationship between the spot and the futures indices, one should concentrate solely on those imperfections that are likely to occur within very short time horizons.
منابع مشابه
Studies in Nonlinear Dynamics and Econometrics
This paper investigates topologically semiconjugate dynamics as a macrorepresentation of microeconomic dynamics. The condition for its existence, its summarizing property, and its inferability property are discussed. As an example, we present a model of a temporary equilibrium price dynamic that has a topologically semiconjugate one-dimensional income dynamic, from which the nature of the origi...
متن کاملStudies in Nonlinear Dynamics and Econometrics
This paper aims at testing and modeling business-cycle asymmetries within a structural time-series framework, allowing for smooth transition in the parameters characterizing the cyclical component, namely, the damping factor and the frequency. An LM test of linearity is derived, and illustrations are provided with reference to a set of quarterly U.S. industrial production series for two-digit m...
متن کاملStudies in Nonlinear Dynamics and Econometrics
We investigate business cycle dynamics for 26 countries, estimating a set of nonlinear models for real GDP where appropriate. We find a great deal of heterogeneity in the dynamics of real output growth across countries. At the same time, a common feature is the asymmetric response of real GDP to shocks and the tendency for negative real GDP shocks to be less persistent than positive real GDP sh...
متن کاملThe Transient Dynamics of a Beam Mounted on Spring Supports and Equipped with the Nonlinear Energy Sink
The transient dynamics of a beam mounted on springer-damper support and equipped with a nonlinear energy sink (NES) is investigated under the effects of shock loads. The equations of motion are derived using the Hamilton’s principle leading to four hybrid ordinary and partial differential equations and descritized using the Galerkin method. An adaptive Newmark method is employed for accurate an...
متن کاملStudies in Nonlinear Dynamics and Econometrics
There is now a great deal of empirical evidence that business cycle fluctuations contain asymmetries. I focus on a theoretical model intended to capture the nonlinear behavior of aggregate output following a large negative shock. Nonlinearity introduced by Bayesian updating and an information externality produces an economy in which the response to large negative shocks is an increase in future...
متن کاملStudies in Nonlinear Dynamics and Econometrics
It is a common assertion that, in a world with perfect markets and rational expectations, endogenous cycles could only arise under very unrealistic assumptions. This paper offers a short discussion on this claim and a review of the relevant contributions to the literature on deterministic fluctuations in competitive models. It is argued that these types of fluctuations are more easily obtained ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2001