Đang chuẩn bị liên kết để tải về tài liệu:
America’s Commitment to Retirement Security Investor Attitudes and Actions

Không đóng trình duyệt đến khi xuất hiện nút TẢI XUỐNG Tải xuống

The rest of the paper is set out as follows. Section 2 provides an overview of the theoretical arguments that motivate nonlinear mean- reverting behavior in the futures basis. Section 3 discusses the class of nonlinear models employed for modeling the futures basis. Section 4 describes the data set. Section 5 reports the results of summary statistics and univariate unit root tests applied to basis data, cointegration tests applied to a regression involving the spot price and the futures price, lin- earity tests applied to the basis data, and the estimation results from employing nonlinear models to characterize the basis of the S&P 500 and the FTSE 100 indices