A Threshold Error Correction Model for Intraday Futures and Index Returns

M. Martens, P. Kofman, A.C.F. Vorst

Research output: Contribution to Journal › Article › Academic › peer-review

Original language	English
Pages (from-to)	245-263
Journal	Journal of Applied Econometrics
Volume	13
Issue number	3
DOIs	https://doi.org/10.1002/(SICI)1099-1255(199805/06)13:3<245::AID-JAE480>3.0.CO;2-E
Publication status	Published - 1998

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title = "A Threshold Error Correction Model for Intraday Futures and Index Returns",

author = "M. Martens and P. Kofman and A.C.F. Vorst",

year = "1998",

doi = "10.1002/(SICI)1099-1255(199805/06)13:3<245::AID-JAE480>3.0.CO;2-E",

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journal = "Journal of Applied Econometrics",

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TY - JOUR

T1 - A Threshold Error Correction Model for Intraday Futures and Index Returns

AU - Martens, M.

AU - Kofman, P.

AU - Vorst, A.C.F.

PY - 1998

Y1 - 1998

U2 - 10.1002/(SICI)1099-1255(199805/06)13:3<245::AID-JAE480>3.0.CO;2-E

DO - 10.1002/(SICI)1099-1255(199805/06)13:3<245::AID-JAE480>3.0.CO;2-E

M3 - Article

SN - 0883-7252

VL - 13

SP - 245

EP - 263

JO - Journal of Applied Econometrics

JF - Journal of Applied Econometrics

IS - 3

ER -