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Title:	Wavelet Analysis of the Cost-of-Carry Model
Authors:	Lin, Shinn-Juh;Stevenson, Maxwell 林信助
Contributors:	國貿系
Date:	2001
Issue Date:	2015-04-08 14:52:36 (UTC+8)
Abstract:	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.
Relation:	Studies in Nonlinear Dynamics and Econometrics , vol. 5, no. 1, pp. 87-102
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1162/108118201753421150
DOI:	10.1162/108118201753421150
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

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snde.2001.5.1.1073.pdf		537Kb	Adobe PDF2	813	View/Open

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